A Note on Calculating Autocovariances of PeriodicARMAModels

DOI10.1080/03610910801943537MaRDI QIDQ3625317zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche, Hacène Belbachir, Fayçal Hamdi

Publication date 12 May 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.2776

zbMATH Keywords

autocovariance functionsPARMA modelsperiodic Yule-Walker equations

Mathematics Subject Classification ID

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

Abstract: An analytically simple and tractable formula for the start-up autocovariances of periodic ARMA (PARMA) models is provided.

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Cites work

• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Causality conditions and autocovariance calculations in PVAR models
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Recursive prediction and likelihood evaluation for periodic ARMA models

Cited in

(4)

• Calculating the autocovariances and the likelihood for periodic V ARMA models
• A note on the derivation of theoretical autocovariances for ARMA models
• On Markov-switching periodicARMAmodels
• Bootstrapping periodic state-space models

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