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Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters

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  • Eugen Ursu
  • Pierre Duchesne

Abstract

We introduce a class of multivariate seasonal time series models with periodically varying parameters, abbreviated by the acronym SPVAR. The model is suitable for multivariate data, and combines a periodic autoregressive structure and a multiplicative seasonal time series model. The stationarity conditions (in the periodic sense) and the theoretical autocovariance functions of SPVAR stochastic processes are derived. Estimation and checking stages are considered. The asymptotic normal distribution of the least squares estimators of the model parameters is established, and the asymptotic distributions of the residual autocovariance and autocorrelation matrices in the class of SPVAR time series models are obtained. In order to check model adequacy, portmanteau test statistics are considered and their asymptotic distributions are studied. A simulation study is briefly discussed to investigate the finite‐sample properties of the proposed test statistics. The methodology is illustrated with a bivariate quarterly data set on travelers entering in to Canada.

Suggested Citation

  • Eugen Ursu & Pierre Duchesne, 2009. "Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(2), pages 183-212, May.
    • Handle: RePEc:bla:stanee:v:63:y:2009:i:2:p:183-212
    DOI: 10.1111/j.1467-9574.2009.00417.x
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    References listed on IDEAS

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    1. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.

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