Random-coefficient periodic autoregressions

DOI10.1111/J.1467-9574.2010.00477.XMaRDI QIDQ6573444zbMATH OpenFDO

Authors Philip Hans Franses, Richard Paap

Publication date 16 July 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-9574.2010.00477.X

zbMATH Keywords

periodic autoregressionrandom-coefficient model

Mathematics Subject Classification ID

Statistics (62-XX) Inference from stochastic processes (62Mxx) Applications of statistics (62Pxx)

Cites work

• A multivariate approach to modeling univariate seasonal time series
• Efficient Inference in a Random Coefficient Regression Model
• First-order seasonal autoregressive processes with periodically varying parameters
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Multiple unit roots in periodic autoregression
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• Periodic Time Series Models
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The implications of periodically varying coefficients for seasonal time- series processes
• Time series with periodic structure

Cited in

(5)

• Testing earnings management
• Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
• Shrinkage estimators for periodic autoregressions
• Seasonal ARIMA models with a random period
• Parsimonious modeling of periodic time series using Fourier and wavelet techniques

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