Some Properties of Periodogram of Autoregressive Integrated Moving Average Process  

作　　者：徐立霞 刘次华 

机构地区：[1]School of Economics, Nanjing University of Finance and Economics [2]Department of Mathematics, Huazhong University of Science and Technology

出　　处：《Journal of Southwest Jiaotong University(English Edition)》2008年第4期414-418,共5页西南交通大学学报（英文版）

摘　　要：Based on the analysis of periodogram, this paper discussed the properties of periodogram of autoregressive integrated moving average process ARIMA（p,1 ,q）, and found that the periodgram of ARIMA（p,1 ,q） process is dominated by the transfer function of the difference operator, which is the same as the result of Crato. The obtained asymptotically properties of the single random walk process was extended to more complicated autoregressive integrated moving average process.Based on the analysis of periodogram, this paper discussed the properties of periodogram of autoregressive integrated moving average process ARIMA（p,1 ,q）, and found that the periodgram of ARIMA（p,1 ,q） process is dominated by the transfer function of the difference operator, which is the same as the result of Crato. The obtained asymptotically properties of the single random walk process was extended to more complicated autoregressive integrated moving average process.

关 键 词：Nomtationary time series PERIODOGRAM ARIMA（p 1  q） 

分 类 号：O212.1[理学—概率论与数理统计]