Premium
Parameter Estimation for Periodically Stationary Time Series
Author(s) -
Anderson Paul L.,
Meerschaert Mark M.
Publication year - 2005
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2005.00428.x
Subject(s) - mathematics , series (stratigraphy) , moment (physics) , stationary process , time series , estimation , asymptotic distribution , distribution (mathematics) , econometrics , statistics , mathematical analysis , biology , paleontology , physics , management , classical mechanics , estimator , economics
. The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper, we compute the asymptotic distribution for these estimates in the case, where the innovations have a finite fourth moment. These asymptotic results are useful to determine which model parameters are significant. In the process, we also develop asymptotics for the Yule–Walker estimates.