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Innovations algorithm for periodically stationary time series

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  • Anderson, Paul L.
  • Meerschaert, Mark M.
  • Vecchia, Aldo V.

Abstract

Periodic ARMA, or PARMA, time series are used to model periodically stationary time series. In this paper we develop the innovations algorithm for periodically stationary processes. We then show how the algorithm can be used to obtain parameter estimates for the PARMA model. These estimates are proven to be weakly consistent for PARMA processes whose underlying noise sequence has either finite or infinite fourth moment. Since many time series from the fields of economics and hydrology exhibit heavy tails, the results regarding the infinite fourth moment case are of particular interest.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:83:y:1999:i:1:p:149-169
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    References listed on IDEAS

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    1. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
    2. 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.
    3. Brockwell, P. J. & Davis, R. A., 1988. "Simple consistent estimation of the coefficients of a linear filter," Stochastic Processes and their Applications, Elsevier, vol. 28(1), pages 47-59, April.
    4. Dag Tjøstheim & Jostein Paulsen, 1982. "Empirical Identification Of Multiple Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(4), pages 265-282, July.
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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. 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.
    3. Mohammad Reza Mahmoudi & Mohsen Maleki, 2017. "A new method to detect periodically correlated structure," Computational Statistics, Springer, vol. 32(4), pages 1569-1581, December.
    4. Hurd, H. & Makagon, A. & Miamee, A. G., 0. "On AR(1) models with periodic and almost periodic coefficients," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 167-185, July.
    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.

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