Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models

From MaRDI portal
Revision as of 18:17, 7 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4677018

DOI10.1111/j.1467-9892.2004.00356.xzbMath1062.62203OpenAlexW3122583318MaRDI QIDQ4677018

Qin Shao, Robert B. Lund

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00356.x




Related Items (26)

The maximum likelihood method for Student's t-distributed autoregressive model with infinite varianceGoodness-of-fit tests for SPARMA models with dependent error termsOn covariance generating functions and spectral densities of periodically correlated autoregressive processesEmpirical study of robust estimation methods for PAR models with application to the air quality areaThe modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1Seasonal count time seriesPortmanteau tests for periodic ARMA models with dependent errorsThe ARMA alphabet soup: a tour of ARMA model variantsMeasures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable DistributionSubsampling in testing autocovariance for periodically correlated time seriesOn Markov-switching periodicARMAmodelsInnovations algorithm asymptotics for periodically stationary time series with heavy tailsEFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALSMixture periodic autoregressive time series modelsLeast-squares estimation and ANOVA for periodic autoregressive time seriesAn MDL approach to the climate segmentation problemCausality conditions and autocovariance calculations in PVAR modelsA Note on Calculating Autocovariances of PeriodicARMAModelsCharacterization of discrete scale invariant Markov sequencesCalculating the autocovariances and the likelihood for periodic V ARMA modelsAggregation and systematic sampling of periodic ARMA processesAsymptotic results for Fourier-PARMA time seriesA prediction‐residual approach for identifying rare events in periodic time seriesParsimonious time series modeling for high frequency climate dataAsymptotic Properties of Weighted Least Squares Estimation in Weak PARMA ModelsAsymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model




Cites Work




This page was built for publication: Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models