On modelling and diagnostic checking of vector periodic autoregressive time series models

DOI10.1111/j.1467-9892.2008.00601.xzbMath1224.62072OpenAlexW2148127438MaRDI QIDQ3077642

Pierre Duchesne, Eugen Ursu

Publication date: 22 February 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00601.x

zbMATH Keywords

vector time seriesparameter constraintsautocovariance matrixperiodic time seriesdiagnostic checkingportmanteau test statisticsresidual autocorrelation matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric inference under constraints (62F30)

Related Items

A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes ⋮ Periodic autoregressive model identification using genetic algorithms ⋮ Estimation and identification of periodic autoregressive models with one exogenous variable ⋮ Bootstrapping periodically autoregressive models ⋮ Estimating weak periodic vector autoregressive time series ⋮ Portmanteau tests for periodic ARMA models with dependent errors ⋮ Detection and estimation of additive outliers in seasonal time series ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ Robust modelling of periodic vector autoregressive time series ⋮ Robust estimation of periodic autoregressive processes in the presence of additive outliers ⋮ On multiplicative seasonal modelling for vector time series ⋮ Periodic autoregressive models with closed skew-normal innovations ⋮ Bootstrapping Periodic State-Space Models ⋮ Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications ⋮ Explosive strong periodic autoregression with multiplicity one

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the asymptotic distribution of residual autocovariances in VARX models with applications
• Time series: theory and methods.
• Estimating the dimension of a model
• On periodic and multiple autoregressions
• An approach to modeling seasonally stationary time series
• Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models
• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• The Multivariate Portmanteau Statistic
• Some results in periodic autoregression
• FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
• Periodic Time Series Models
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
• Time series with periodic structure
• Testing for periodic autocorrelations in seasonal time series data
• A new look at the statistical model identification

This page was built for publication: On modelling and diagnostic checking of vector periodic autoregressive time series models