Model-building problem of periodically correlated \(m\)-variate moving average processes

DOI10.1006/jmva.1997.1733zbMath0923.62089OpenAlexW2081136651MaRDI QIDQ1268004

Mohamed Bentarzi

Publication date: 31 October 1999

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1997.1733

zbMATH Keywords

continued fractionsautocovariance operatorlinear stochastic difference equation

Mathematics Subject Classification ID

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

Related Items

Moments of Mixture Periodic Autoregressive Models ⋮ On mixture periodic Integer-Valued ARCH models ⋮ Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape ⋮ Predictive Density Order Selection of Periodic AR Models ⋮ On the existence of higher-order moments of periodic GARCH models ⋮ Causality conditions and autocovariance calculations in PVAR models ⋮ Calculation of the Fisher Information Matrix for Periodic ARMA Models ⋮ On some probabilistic properties of double periodic AR models ⋮ Adaptive Estimation of Causal Periodic Autoregressive Model ⋮ An On-Line Estimation Algorithm for Periodic Autoregressive Models ⋮ On Mixture Periodic Vector Autoregressive Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Spectral factorization of nonstationary moving average processes
• On periodic and multiple autoregressions
• An approach to modeling seasonally stationary time series
• A multivariate approach to modeling univariate seasonal time series
• The implications of periodically varying coefficients for seasonal time- series processes
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Some results in periodic autoregression
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
• Time series with periodic structure
• Testing for periodic autocorrelations in seasonal time series data