Single-season heteroscedasticity in time series

Jeremy Penzer and Yorghos Tripodis
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Jeremy Penzer: Department of Statistics, London School of Economics, London, UK, Postal: Department of Statistics, London School of Economics, London, UK
Yorghos Tripodis: Department of Mathematics and Statistics, University of Massachusetts, Amherst, Massachusetts, USA, Postal: Department of Mathematics and Statistics, University of Massachusetts, Amherst, Massachusetts, USA

Journal of Forecasting, 2007, vol. 26, issue 3, pages 189-202

Abstract: We consider seasonal time series in which one season has variance that is different from all the others. This behaviour is evident in indices of production where variability is highest for the month with the lowest level of production. We show that when one season has different variability from others there are constraints on the seasonal models that can be used; neither dummy and trigonometric models are effective in modelling this type of behaviour. We define a general model that provides an appropriate representation of single-season heteroscedasticity and suggest a likelihood ratio test for the presence of periodic variance in one season.  Copyright © 2007 John Wiley & Sons, Ltd.

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