Periodic moving average processes are representatives of the class of periodic models suitable for the description of some seasonal time series and for the construction of multivariate moving average models. The attention having been lately concentrated mainly on periodic autoregressions, some methods of statistical analysis of the periodic moving average processes are suggested in the paper. These methods include the estimation procedure (based on Durbin's construction of the parameter estimators in the moving average processes and on Pagano's results for the periodic autoregressions) and the test of the periodic structure. The results are demonstrated by means of numerical simulations.
Periodic moving average processes are representatives of the class of periodic models suitable for the description of some seasonal time series and for the construction of multivariate moving average models. The attention having been lately concentrated mainly on periodic autoregressions, some methods of statistical analysis of the periodic moving average processes are suggested in the paper. These methods include the estimation procedure (based on Durbin's construction of the parameter estimators in the moving average processes and on Pagano's results for the periodic autoregressions) and the test of the periodic structure. The results are demonstrated by means of numerical simulations.
Classification :
62M09, 62M10
Keywords:
periodic moving average processes; seasonal time series; multivariate moving average models; estimation procedure; Durbin’s construction; test of the periodic structure; numerical simulations
@article{10_21136_AM_1985_104142,
author = {Cipra, Tom\'a\v{s}},
title = {Periodic moving average process},
journal = {Applications of Mathematics},
pages = {218--229},
year = {1985},
volume = {30},
number = {3},
doi = {10.21136/AM.1985.104142},
mrnumber = {0789861},
zbl = {0586.62146},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.1985.104142/}
}
TY - JOUR
AU - Cipra, Tomáš
TI - Periodic moving average process
JO - Applications of Mathematics
PY - 1985
SP - 218
EP - 229
VL - 30
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UR - http://geodesic.mathdoc.fr/articles/10.21136/AM.1985.104142/
DO - 10.21136/AM.1985.104142
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ID - 10_21136_AM_1985_104142
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%T Periodic moving average process
%J Applications of Mathematics
%D 1985
%P 218-229
%V 30
%N 3
%U http://geodesic.mathdoc.fr/articles/10.21136/AM.1985.104142/
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%F 10_21136_AM_1985_104142
Cipra, Tomáš. Periodic moving average process. Applications of Mathematics, Tome 30 (1985) no. 3, pp. 218-229. doi: 10.21136/AM.1985.104142
