Periodic integration: Further results on model selection and forecasting

DOI10.1007/BF02926158zbMath0845.62067OpenAlexW2146861819MaRDI QIDQ1915112

Philip Hans Franses, Richard Paap

Publication date: 11 June 1996

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02926158

zbMATH Keywords

model selectionMonte Carlo simulationsforecastingnonstationary periodic autoregressive time seriesperiodically integrated seasonal time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Related Items (3)

PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models ⋮ Periodically correlated modeling by means of the periodograms asymptotic distributions ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations

Cites Work

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• Seasonal integration and cointegration
• A multivariate approach to modeling univariate seasonal time series
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Testing for periodic autocorrelations in seasonal time series data

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