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Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models

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  • Qin Shao
  • Robert Lund

Abstract

This paper studies correlation and partial autocorrelation properties of periodic autoregressive moving‐average (PARMA) time series models. An efficient algorithm to compute PARMA autocovariances is first derived. An innovations based algorithm to compute partial autocorrelations for a general periodic series is then developed. Finally, periodic moving averages and autoregressions are characterized as periodically stationary series whose autocovariances and partial autocorrelations, respectively, are zero at all lags that exceed some periodically varying threshold.

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  • Qin Shao & Robert Lund, 2004. "Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 359-372, May.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:3:p:359-372
    DOI: 10.1111/j.1467-9892.2004.00356.x
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    1. 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.
    2. Mohamed Bentarzi & Marc Hallin, 1994. "On The Invertibility Of Periodic Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(3), pages 263-268, May.
    3. Robert Lund & I. V. Basawa, 2000. "Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 75-93, January.
    4. Hurd, H. L., 1989. "Representation of strongly harmonizable periodically correlated processes and their covariances," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 53-67, April.
    5. Peter Bloomfield & Harry L. Hurd & Robert B. Lund, 1994. "Periodic Correlation In Stratospheric Ozone Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(2), pages 127-150, March.
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    Cited by:

    1. Yorghos Tripodis & Jeremy Penzer, 2009. "Modelling time series with season-dependent autocorrelation structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 559-574.
    2. Shao, Q., 2006. "Mixture periodic autoregressive time series models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 609-618, March.
    3. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    4. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
    5. Paul L. Anderson & Farzad Sabzikar & Mark M. Meerschaert, 2021. "Parsimonious time series modeling for high frequency climate data," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 442-470, July.
    6. Jiajie Kong & Robert Lund, 2023. "Seasonal count time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 93-124, January.
    7. Soumya Das & Marc G. Genton & Yasser M. Alshehri & Georgiy L. Stenchikov, 2021. "A cyclostationary model for temporal forecasting and simulation of solar global horizontal irradiance," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
    8. ŁUkasz Lenart & Jacek Leśkow & Rafał Synowiecki, 2008. "Subsampling in testing autocovariance for periodically correlated time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 995-1018, November.
    9. Shao, Q. & Ni, P.P., 2004. "Least-squares estimation and ANOVA for periodic autoregressive time series," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 287-297, September.
    10. Anderson, Paul L. & Kavalieris, Laimonis & Meerschaert, Mark M., 2008. "Innovations algorithm asymptotics for periodically stationary time series with heavy tails," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 94-116, January.
    11. Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.

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