Innovations algorithm for periodically stationary time series

DOI10.1016/S0304-4149(99)00027-7zbMATH Open0995.62082MaRDI QIDQ1613633FDOQ1613633

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

Publication date: 29 August 2002

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

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• Robust Estimation For Periodic Autoregressive Time Series
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models

zbMATH Keywords

heavy tailsregular variationinnovations algorithmperiodically stationary seriesYule-Walker estimates

Mathematics Subject Classification ID

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

Cites Work

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• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• Recursive prediction and likelihood evaluation for periodic ARMA models
• FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES

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
• A prediction‐residual approach for identifying rare events in periodic 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
• Title not available (Why is that?)
• Forecasting with prediction intervals for periodic autoregressive moving average models
• A new method to detect periodically correlated structure

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