Parameter Estimation for Periodically Stationary Time Series

DOI10.1111/j.1467-9892.2005.00428.xzbMath1090.62090OpenAlexW1970337334MaRDI QIDQ5467614

Mark M. Meerschaert, Paul L. Anderson

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00428.x

zbMATH Keywords

time seriesinnovation algorithmperiodically stationary

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Prediction of multivariate time series by autoregressive model fitting
• Simple consistent estimation of the coefficients of a linear filter
• Periodic moving averages of random variables with regularly varying tails
• Innovations algorithm for periodically stationary time series
• Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
• EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES

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