Journal of the Korean Statistical Society
- Volume 17 Issue 1
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- Pages.24-29
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- 1988
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- 1226-3192(pISSN)
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- 2005-2863(eISSN)
A Contour-Integral Derivation of the Asymptotic Distribution of the Sample Partial Autocorrelations with Lags Greater than p of an AR(p) Model
- Park, B. S. (Department of Applied Statistics, Yonsei University, Seoul, 120-749)
- Published : 1988.06.01
Abstract
The asymptotic distribution of the sample partial autocorrelation terms after lag p of an AR(p) model has been shown by Dixon(1944). The derivation is based on multivariate analysis and looks tedious. In this paper we present an interesting contour-integral derivation.
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