First-order seasonal autoregressive processes with periodically varying parameters
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.
Volume (Year): 67 (2004)
Issue (Month): 4 (May)
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- 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.
- 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.
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