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Inspecting a seasonal ARIMA model with a random period

Author

Listed:
  • Aknouche, Abdelhakim
  • Rabehi, Nadia

Abstract

This work proposes a class of seasonal autoregressive integrated moving average models whose period is an independent and identically distributed random process valued in a finite set. The causality, invertibility, and autocovariance shape of the model are first revealed. Then, the estimation of the parameters which are the model coefficients, the innovation variance, the probability distribution of the period, and the (unobserved) sample-path of the period, is carried out using the expectation-maximization algorithm. In particular, a procedure for random elimination of seasonality is proposed. An application of the methodology to the annual Wolfer sunspot numbers is provided.

Suggested Citation

  • Aknouche, Abdelhakim & Rabehi, Nadia, 2024. "Inspecting a seasonal ARIMA model with a random period," MPRA Paper 120758, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:120758
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Seasonal ARIMA models; irregular seasonality; random period; non-integer period; SARIMAR model; EM algorithm.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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