PARSIMONIOUS PERIODIC TIME SERIES MODELING |
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| Authors: | Robert Lund Qin Shao and Ishwar Basawa |
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| Institution: | Clemson University, The University of Toledo and The University of Georgia |
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| Abstract: | This paper studies techniques for fitting parsimonious periodic time series models to periodic data. Large sample standard errors for the parameter estimates in a periodic autoregressive moving‐average time series model under parametric constraints are derived. Likelihood ratio statistics for hypothesis testing are examined. The techniques are applied in modeling daily temperatures at Griffin, Georgia, USA. |
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| Keywords: | Fourier series periodic autocovariances periodic autoregressive moving-average (PARMA) Model standard errors |
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