Forecasting with prediction intervals for periodic autoregressive moving average models

DOI10.1111/jtsa.12000zbMath1274.62635OpenAlexW2143243766WikidataQ39365230 ScholiaQ39365230MaRDI QIDQ2852490

Kai Zhang, Paul L. Anderson, Mark M. Meerschaert

Publication date: 9 October 2013

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

Full work available at URL: http://europepmc.org/articles/pmc3740775

zbMATH Keywords

forecastingautoregressive moving averageperiodic correlation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Applications of statistics to environmental and related topics (62P12)

Related Items (4)

The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS

Uses Software

• R

Cites Work

• Unnamed Item
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• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
• Periodic Time Series Models
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
• Asymptotic results for Fourier-PARMA time series
• Time series with periodic structure

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