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- Title
On the Sample Autocorrelation Function's Absolute Summability.
- Authors
Hassani, Hossein; Yeganegi, Mohammad Reza; Mehreyan, Sedigheh Zamani; Sayyareh, Abdolreza
- Abstract
The sample ACF is the most common basic tool in analyzing time-series data. This paper provides a theoretical proof that, under some regularity conditions, sample ACF of a given stationary time series is not absolutely summable. Furthermore, it shows that under some mild conditions, the number of positive and negative sample ACFs and their absolute summation tend to infinity as the length of time series increases. The theoretical results are supported by practical evidence from a simulation study.
- Subjects
TIME series analysis; INFINITY (Mathematics)
- Publication
Fluctuation & Noise Letters, 2022, Vol 21, Issue 1, p1
- ISSN
0219-4775
- Publication type
Article
- DOI
10.1142/S0219477522500043