ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
作者:
P. L. Anderson,
A. V. Vecchia,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1993)
卷期:
Volume 14,
issue 1
页码: 1-18
ISSN:0143-9782
年代: 1993
DOI:10.1111/j.1467-9892.1993.tb00126.x
出版商: Blackwell Publishing Ltd
关键词: Discrete Fourier transform;model identification;periodic autocorrelation function;periodically stationary
数据来源: WILEY
摘要:
Abstract.This paper is concerned with the derivation of asymptotic distributions for the sample autocovariance and sample autocorrelation functions of periodic autoregressive moving‐average processes, which are useful in modelling periodically stationary time series. In an effort to obtain a parsimonious model representing a periodically stationary time series, the asymptotic properties of the discrete Fourier transform of the estimated periodic autocovariance and autocorrelation functions are presented. Application of the asymptotic results to some specific models indicates their usefulness for model identification analysi
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