DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION

A. I. McLeod

Journal of Time Series Analysis, 1994, vol. 15, issue 2, 221-233

Abstract: Abstract. An overview of model building with periodic autoregression (PAR) models is given emphasizing the three stages of model development:identification, estimation and diagnostic checking. New results on the distribution of residual autocorrelations and suitable diagnostic checks are derived. The validity of these checks is demonstrated by simulation. The methodology discussed is illustrated with an application. It is pointed out that the PAR approach to model development offers some important advantages over the more general approach using periodic autoregressive moving‐average models.

Date: 1994
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