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Innovations algorithm asymptotics for periodically stationary time series with heavy tails

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  • Anderson, Paul L.
  • Kavalieris, Laimonis
  • Meerschaert, Mark M.

Abstract

The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper we compute the asymptotic distribution for these estimates in the case where the underlying noise sequence has infinite fourth moment but finite second moment. In this case, the sample covariances on which the innovations algorithm are based are known to be asymptotically stable. The asymptotic results developed here are useful to determine which model parameters are significant. In the process, we also compute the asymptotic distributions of least squares estimates of parameters in an autoregressive model.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:jmvana:v:99:y:2008:i:1:p:94-116
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    References listed on IDEAS

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    1. I. V. Basawa & Robert Lund, 2001. "Large Sample Properties of Parameter Estimates for Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 651-663, November.
    2. Paul L. Anderson & Mark M. Meerschaert, 2005. "Parameter Estimation for Periodically Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 489-518, July.
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    8. G. J. Adams & G. C. Goodwin, 1995. "Parameter Estimation For Periodic Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 127-145, March.
    9. 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.
    10. Anderson, Paul L. & Meerschaert, Mark M. & Vecchia, Aldo V., 1999. "Innovations algorithm for periodically stationary time series," Stochastic Processes and their Applications, Elsevier, vol. 83(1), pages 149-169, September.
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