| Abstract: | Abstract. In this paper the large sample behaviour of the sample autocorrelation matrix R n( h ), ( h being the lag, n the sample size), of a multivariate autoregressive time series with one of its characteristic roots equal to unity and the rest of the roots lying inside the unit circle is studied. It is shown that R n( h ) converges almost surely to a constant matrix. Further, the asymptotic distribution of R n( h ) is characterized as that of a random matrix which is a function of jointly normal random variables. |
