Some results in periodic autoregression

DOI10.1093/BIOMET/66.2.219MaRDI QIDQ4194331zbMATH OpenOpenAlexFDO

Authors 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)

• An On-Line Estimation Algorithm for Periodic Autoregressive Models
• On modelling and diagnostic checking of vector periodic autoregressive time series models
• Model-building problem of periodically correlated \(m\)-variate moving average processes
• Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
• TESTING FOR PERIODIC STATIONARITY
• Weighted least absolute deviations estimation for periodic ARMA models
• Optimized regression models for time series
• Periodic autoregressive model identification using genetic algorithms
• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• Parsimonious time series modeling for high frequency climate data
• scientific article; zbMATH DE number 3992726 (Why is no real title available?)
• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters
• Innovations algorithm for periodically stationary time series
• Periodic autoregressive models with closed skew-normal innovations
• The implications of periodically varying coefficients for seasonal time- series processes
• First-order seasonal autoregressive processes with periodically varying parameters
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• Autoregressive model with double Pareto distributed noise
• Time-varying periodicity in intraday volatility
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Asymptotic results for Fourier-PARMA time series
• The ARMA alphabet soup: a tour of ARMA model variants
• A multivariate approach to modeling univariate seasonal time series
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution
• Nonstationary Yule-Walker equations

This page was built for publication: Some results in periodic autoregression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4194331)