Least-squares estimation and ANOVA for periodic autoregressive time series
AbstractThe periodic correlation exists throughout the whole process in a analysis of variance (ANOVA) type model where the error terms consist of a periodic autoregressive time series. This paper studies the asymptotic property of least-squares estimators and linear testable hypotheses with a modified F-test in the analysis of variance akin to periodic autoregressive series. The techniques are applied in making inference on the quarterly streamflow in Asotin, WA.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 69 (2004)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- QIN SHAO & ROBERT Lund, 2004. "Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 359-372, 05.
- Sarnaglia, A.J.Q. & Reisen, V.A. & Lévy-Leduc, C., 2010. "Robust estimation of periodic autoregressive processes in the presence of additive outliers," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2168-2183, October.
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