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A Limiting Property Of Sample Autocovariances Of Periodically Correlated Processes With Application To Period Determination

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  • C. J. Tian

Abstract

. It is shown that the sample autocovariance of a periodically correlated process converges to a limit which reveals the same periodicity as the process. A theorem is proved relating to the rate of almost sure convergence, which is uniform in the lag up to some orders of observation length. Based on the limiting property, a strongly consistent estimate of hidden period is proposed.

Suggested Citation

  • C. J. Tian, 1988. "A Limiting Property Of Sample Autocovariances Of Periodically Correlated Processes With Application To Period Determination," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(4), pages 411-417, July.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:4:p:411-417
    DOI: 10.1111/j.1467-9892.1988.tb00480.x
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