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First-order seasonal autoregressive processes with periodically varying parameters

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Author Info

  • Basawa, I. V.
  • Lund, Robert
  • Shao, Qin
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    Abstract

    A time series model combining a first-order periodic autoregressive structure and the Box-Jenkins multiplicative seasonal autoregressive model is introduced. Stationarity conditions (in the periodic sense) for this so-called SPAR(1,1) process are established and its autocovariances are derived. Least-squares estimates of the model parameters are obtained and their limit distribution is derived. An extension to higher-order SPARMA models is suggested.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4BYWS18-1/2/47135b345af6067d2464309ca3e7b0e8
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 67 (2004)
    Issue (Month): 4 (May)
    Pages: 299-306

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    Handle: RePEc:eee:stapro:v:67:y:2004:i:4:p:299-306

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    Related research

    Keywords: Autoregression Least-squares estimation Limit distributions Periodic time series Seasonality;

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    1. George E. P. Box & Steven Hillmer & George C. Tiao, 1979. "Analysis and Modeling of Seasonal Time Series," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 309-346 National Bureau of Economic Research, Inc.
    2. Parzen, Emanuel & Pagano, Marcello, 1979. "An approach to modeling seasonally stationary time series," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 137-153, January.
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