Some results in periodic autoregression

DOI10.1093/BIOMET/66.2.219zbMATH Open0407.62067OpenAlexW2102389332MaRDI QIDQ4194331FDOQ4194331

Brent M. Troutman

Publication date: 1979

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/66.2.219

zbMATH Keywords

Time SeriesFunctional Central Limit TheoremAutoregressive ProcessSpectral PropertiesPeriodic Process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

Cited In (31)

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• A multivariate approach to modeling univariate seasonal time series
• On modelling and diagnostic checking of vector periodic autoregressive time series models
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters
• Innovations algorithm for periodically stationary time series
• Asymptotic results for Fourier-PARMA time series
• Periodic autoregressive models with closed skew-normal innovations
• The implications of periodically varying coefficients for seasonal time- series processes
• Nonstationary Yule-Walker equations
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• TESTING FOR PERIODIC STATIONARITY
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• Autoregressive model with double Pareto distributed noise
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• An On-Line Estimation Algorithm for Periodic Autoregressive Models
• Weighted least absolute deviations estimation for periodic ARMA models
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution
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• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
• Time-Varying Periodicity in Intraday Volatility
• First-order seasonal autoregressive processes with periodically varying parameters
• The ARMA alphabet soup: a tour of ARMA model variants
• Optimized regression models for time series
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

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