First-order seasonal autoregressive processes with periodically varying parameters
From MaRDI portal
Publication:1827546
DOI10.1016/j.spl.2004.02.001zbMath1041.62071OpenAlexW2096735969MaRDI QIDQ1827546
Qin Shao, Ishwar V. Basawa, Robert B. Lund
Publication date: 6 August 2004
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2004.02.001
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)
Related Items
Minimax filtering of sequences with periodically stationary increments, Goodness-of-fit tests for SPARMA models with dependent error terms, Seasonal count time series, Integer-valued autoregressive processes with periodic structure, Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients, Beta seasonal autoregressive moving average models, Asymptotic results for Fourier-PARMA time series, Parsimonious time series modeling for high frequency climate data, Explosive strong periodic autoregression with multiplicity one
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On periodic and multiple autoregressions
- An approach to modeling seasonally stationary time series
- Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
- Large Sample Properties of Parameter Estimates for Periodic ARMA Models
- Characterization of cyclostationary random signal processes
- Some results in periodic autoregression
- PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
- Time series with periodic structure
