Innovations algorithm for periodically stationary time series

DOI10.1016/S0304-4149(99)00027-7MaRDI QIDQ1613633zbMATH OpenFDO

Authors Paul L. Anderson, Mark M. Meerschaert, Aldo V. Vecchia

Publication date 29 August 2002

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(99)00027-7

zbMATH Keywords

heavy tailsregular variationinnovations algorithmperiodically stationary seriesYule-Walker estimates

Mathematics Subject Classification ID

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

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Cited in

(11)

• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Parsimonious time series modeling for high frequency climate data
• Parameter Estimation for Periodically Stationary Time Series
• Asymptotic results for Fourier-PARMA time series
• Periodically correlated sequences of less than full rank
• On AR(1) models with periodic and almost periodic coefficients.
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• scientific article; zbMATH DE number 3923921 (Why is no real title available?)
• A prediction-residual approach for identifying rare events in periodic time series
• Forecasting with prediction intervals for periodic autoregressive moving average models
• A new method to detect periodically correlated structure

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