Limiting Behavior of Sample Autocovariance Function of a Seasonal Time Series

摘要

In this paper we study a seasonal time series X/sub t/. Under some ergodic assumptions it is proved that the limit of sample autocovariance function of X/sub t/ exists and reveal same periodicity in some sense. Based on the limiting behavior, the problem of estimating period is also briefly discussed. (ERA citation 09:027630)