PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS

DOI10.1111/J.1467-9892.1995.TB00226.XzbMATH Open0814.62050OpenAlexW1986292882MaRDI QIDQ4328375FDOQ4328375

Publication date: 18 June 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00226.x

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11)

Cites Work

Title not available (Why is that?)
Linear periodic control: A frequency domain viewpoint
Dissipative dynamical systems: basic input-output and state properties
On positive real transfer functions and the convergence of some recursive schemes
Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
The convergence of AML
Characterization of cyclostationary random signal processes

Cited In (33)

Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
A Note on Calculating Autocovariances of PeriodicARMAModels
Calculating the autocovariances and the likelihood for periodic V ARMA models
Periodic moving averages of random variables with regularly varying tails
Model-building problem of periodically correlated \(m\)-variate moving average processes
Parsimonious time series modeling for high frequency climate data
Explosive strong periodic autoregression with multiplicity one
Tracking analysis of an ARMA parameter estimation algorithm
Innovations algorithm for periodically stationary time series
Asymptotic results for Fourier-PARMA time series
On periodic EGARCH models
Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution
Estimating ARMA models with recurrent regime changes
On a different way of understanding the edge-effect for the inference of ARMA-type processes (in \(\mathbb{Z}^d\))
Causality conditions and autocovariance calculations in PVAR models
On AR(1) models with periodic and almost periodic coefficients.
Innovations algorithm asymptotics for periodically stationary time series with heavy tails
A comparison between the autocorellation functions of seasonal ARMA and PARMA models
The effect of temporal aggregation on the estimation accuracy of time series models
Predictive Density Order Selection of Periodic AR Models
A prediction-residual approach for identifying rare events in periodic time series
Large sample properties of parameter estimates for periodic ARMA models
Estimation and identification of periodic autoregressive models with one exogenous variable
General model selection estimation of a periodic regression with a Gaussian noise
Efficient estimation in periodic INAR(1) model: parametric case
An On-Line Estimation Algorithm for Periodic Autoregressive Models
Recursive prediction and likelihood evaluation for periodic ARMA models
On the singular value decomposition, applied in the analysis and prediction of almost periodic signals
Identification of Periodic Moving-Average Models
The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model
Bootstrapping periodic state-space models
The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

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