Premium
PARSIMONIOUS PERIODIC TIME SERIES MODELING
Author(s) -
Lund Robert,
Shao Qin,
Basawa Ishwar
Publication year - 2006
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/j.1467-842x.2006.00423.x
Subject(s) - mathematics , series (stratigraphy) , autoregressive model , statistics , time series , parametric model , autoregressive integrated moving average , parametric statistics , autoregressive–moving average model , econometrics , paleontology , biology
Summary This paper studies techniques for fitting parsimonious periodic time series models to periodic data. Large sample standard errors for the parameter estimates in a periodic autoregressive moving‐average time series model under parametric constraints are derived. Likelihood ratio statistics for hypothesis testing are examined. The techniques are applied in modeling daily temperatures at Griffin, Georgia, USA.