A Note on Calculating Autocovariances of PeriodicARMAModels

DOI10.1080/03610910801943537zbMath1160.62346arXiv0709.2776OpenAlexW2095786535MaRDI QIDQ3625317

Hacène Belbachir, Abdelhakim Aknouche, Fayçal Hamdi

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.2776

zbMATH Keywords

autocovariance functionsPARMA modelsperiodic Yule-Walker equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

On Markov-switching periodicARMAmodels ⋮ Bootstrapping Periodic State-Space Models

Cites Work

• Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Causality conditions and autocovariance calculations in PVAR models

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