Partial autocorrelation parameterisation of models with unit roots on the unit circle

DOI10.48550/ARXIV.2208.05055arXiv2208.05055MaRDI QIDQ100749FDOQ100749

Publication date: 9 August 2022

Abstract: We propose a parametrization of autoregressive unit roots ARMA models (ARUMA) with partial autocorrelation coefficients to specify the autoregressive and integrated part of the model. We obtain the algebraic properties of the partial autocorrelations in the context of unit roots. The main result is that if a partial autocorrelation sequence contains some values equal to 1 or -1, then it can be split at these values into sub-sequences each of which represents the partial autocorrelations of a factor of the overall polynomial on the left-hand side of the model. A separate paper will discuss the details of the estimation procedure and its properties. An implementation is provided by Boshnakov and Halliday (2022) R package sarima, https://cran.r-project.org/package=sarima (function sarima).

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic systems and control (93E99)

Cited In (1)

sarima

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