Identification of Periodic Moving-Average Models

DOI10.1081/STA-120025388MaRDI QIDQ4434426zbMATH OpenFDO

Authors Taylan A. Ula, Abdullah Smadi

Publication date 6 November 2003

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120025388

zbMATH Keywords

autocorrelation functionidentificationPARMA modelperiodic modelsPMA modelsimulations

Mathematics Subject Classification ID

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

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Cites work

• ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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• On periodic and multiple autoregressions

Cited in

(9)

• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Periodic autoregressive model identification using genetic algorithms
• scientific article; zbMATH DE number 4178489 (Why is no real title available?)
• Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Asymptotic results for Fourier-PARMA time series
• Parsimonious time series modeling for high frequency climate data
• A comparison between the autocorellation functions of seasonal ARMA and PARMA models

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