ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

DOI10.1111/J.1467-9892.1993.TB00126.XMaRDI QIDQ4696576zbMATH OpenOpenAlexFDO

Authors Paul L. Anderson, Aldo V. Vecchia

Publication date 29 June 1993

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00126.x

zbMATH Keywords

discrete Fourier transformmodel identification analysismodelling periodically stationary time seriesperiodic autoregressive moving-average processessample autocorrelation functionssample autocovariance

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic covariance structure of serial correlations in multivariate time series
• scientific article; zbMATH DE number 3650737 (Why is no real title available?)
• On periodic and multiple autoregressions
• Testing for periodic autocorrelations in seasonal time series data
• The asymptotic distribution of serial covariances
• Time series: theory and methods

Cited in

(28)

• Asymptotic distribution of the autoregressive estimates of the inverse correlation function
• Model-building problem of periodically correlated m-variate moving average processes
• Periodic moving averages of random variables with regularly varying tails
• Innovations algorithm for periodically stationary time series
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• Asymptotic influence of mean-correction on estimating a periodic AR(1) model.
• On the theory of periodic multivariate INAR processes
• Exact maximum likelihood estimation for non-stationary periodic time series models
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• scientific article; zbMATH DE number 5904507 (Why is no real title available?)
• Circulant matrices and time-series analysis
• scientific article; zbMATH DE number 3872518 (Why is no real title available?)
• Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model
• Predictive Density Order Selection of Periodic AR Models
• Subsampling in testing autocovariance for periodically correlated time series
• scientific article; zbMATH DE number 3940531 (Why is no real title available?)
• scientific article; zbMATH DE number 4090570 (Why is no real title available?)
• A LIMITING PROPERTY OF SAMPLE AUTOCOVARIANCES OF PERIODICALLY CORRELATED PROCESSES WITH APPLICATION TO PERIOD DETERMINATION
• scientific article; zbMATH DE number 1054392 (Why is no real title available?)
• Identification of Periodic Moving-Average Models
• Asymptotic results for Fourier-PARMA time series
• Parsimonious time series modeling for high frequency climate data
• The discrete Fourier transform approximation for periodically correlated time series
• Causality conditions and autocovariance calculations in PVAR models
• Parameter Estimation for Periodically Stationary Time Series
• A prediction-residual approach for identifying rare events in periodic time series
• The effects of seasonally adjusting a periodic autoregressive process
• Parsimonious modeling of periodic time series using Fourier and wavelet techniques

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