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Biometrika 1979 66(1):156-157; doi:10.1093/biomet/66.1.156
© 1979 by Biometrika Trust
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Miscellanea

The asymptotic distribution of R2 for autoregressive-moving average time series models when parameters are estimated

J. R. M. HOSKING

Department of Mathematics, University of Southampton

The properties of the estimator of the squared multiple correlation coefficient, R2, for an autoregressive-moving average process are considered. It is shown that the estimator has an asymptotic distribution which is normal with mean .R2 and variance obtainable from the autocorrelations of the process.

Key Words: Asymptotic distribution • Autoregresave-moving average process • Time series


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