IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v23y2002i6p707-731.html
   My bibliography  Save this article

Asymptotic laws of successive least squares estimates for seasonal arima models and application

Author

Listed:
  • B. Truong‐van
  • P. Varachaud

Abstract

. In view of detecting the stochastic non‐stationarity in time series, successive Yule–Walker estimates are considered for general seasonal ARIMA models and their asymptotic laws are obtained. This extends results known on least squares estimates for stable–unstable ARMA. Furthermore, these asymptotic laws are then compared with analogous results obtained under some additive seasonal model that corresponds to the case of deterministic seasonal behaviour. These results, combined with a simulation study, reveal that successive autoregressions provide a very useful tool both for identifying seasonal ARIMA processes and for distinguishing between stochastic and deterministic seasonal behaviours.

Suggested Citation

  • B. Truong‐van & P. Varachaud, 2002. "Asymptotic laws of successive least squares estimates for seasonal arima models and application," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(6), pages 707-731, November.
    • Handle: RePEc:bla:jtsera:v:23:y:2002:i:6:p:707-731
    DOI: 10.1111/1467-9892.00287
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.00287
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.00287?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:23:y:2002:i:6:p:707-731. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.