An approach to modeling seasonally stationary time series
From MaRDI portal
Publication:1253859
DOI10.1016/0304-4076(79)90100-3zbMath0397.62067OpenAlexW2027952292MaRDI QIDQ1253859
Marcello Pagano, Emanuel Parzen
Publication date: 1979
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(79)90100-3
ModelingPredictionGaussian ProcessAutoregressive SchemesEconometric ModelingNonparametric ApproachPeriodically Stationary Time Series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (23)
The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ A single series representation of multiple independent ARMA processes ⋮ Bootstrapping periodically autoregressive models ⋮ Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ A LIMITING PROPERTY OF SAMPLE AUTOCOVARIANCES OF PERIODICALLY CORRELATED PROCESSES WITH APPLICATION TO PERIOD DETERMINATION ⋮ EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS ⋮ Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models ⋮ Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients ⋮ Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series ⋮ On modelling and diagnostic checking of vector periodic autoregressive time series models ⋮ Periodic linear-quadratic methods for modeling seasonality ⋮ Model-building problem of periodically correlated \(m\)-variate moving average processes ⋮ A stochastic model of IndoPacific sea surface temperature anomalies ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ On cross-correlation function evaluation from a periodically time-varying digital filter's output ⋮ First-order seasonal autoregressive processes with periodically varying parameters ⋮ Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model ⋮ ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA ⋮ PARSIMONIOUS PERIODIC TIME SERIES MODELING ⋮ Unnamed Item ⋮ Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
Cites Work
This page was built for publication: An approach to modeling seasonally stationary time series
