Parameter Estimation for Periodically Stationary Time Series

DOI10.1111/J.1467-9892.2005.00428.XMaRDI QIDQ5467614zbMATH OpenOpenAlexFDO

Authors Paul L. Anderson, Mark M. Meerschaert

Publication date 24 May 2006

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00428.x

zbMATH Keywords

innovation algorithmperiodically stationarytime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Innovations algorithm for periodically stationary time series
• Periodic moving averages of random variables with regularly varying tails
• Prediction of multivariate time series by autoregressive model fitting
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Simple consistent estimation of the coefficients of a linear filter

Cited in

(21)

• A Bayesian analysis of moving average processes with time-varying parameters
• Aggregation and systematic sampling of periodic ARMA processes
• Innovations algorithm for periodically stationary time series
• A new method to detect periodically correlated structure
• A cyclic stastistics-based parametric approach to time-delay estimation
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Calculating the autocovariances and the likelihood for periodic V ARMA models
• On Markov-switching periodicARMAmodels
• ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• scientific article; zbMATH DE number 934447 (Why is no real title available?)
• Asymptotic results for Fourier-PARMA time series
• Parsimonious time series modeling for high frequency climate data
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Empirical study of robust estimation methods for PAR models with application to the air quality area
• Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
• Efficient estimation for periodic autoregressive coefficients via residuals
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Autoregressive model with double Pareto distributed noise
• Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
• Robust estimation of periodic autoregressive processes in the presence of additive outliers

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