Least-squares estimation and ANOVA for periodic autoregressive time series

DOI10.1016/j.spl.2004.06.023zbMath1062.62202OpenAlexW2092460344MaRDI QIDQ1771465

Xianqiang Yang

Publication date: 21 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.06.023

zbMATH Keywords

Analysis of varianceLeast squares estimationPeriodic autocovariancesPeriodic autoregressive moving-average modelsPeriodically correlated time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (6)

A New Approach to ANOVA Methods for Autocorrelated Data ⋮ Bootstrapping periodically autoregressive models ⋮ Seasonal count time series ⋮ Testing for seasonal means in time series data ⋮ Integer-valued autoregressive processes with periodic structure ⋮ Robust estimation of periodic autoregressive processes in the presence of additive outliers

Cites Work

• A simple test for stable seasonality
• Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models
• Two-Way Analysis of Variance for Stationary Periodic Time Series
• Two-Way Analysis of Variance with Correlated Errors
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, II. Effects of Inequality of Variance and of Correlation Between Errors in the Two-Way Classification

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