 Modelling cycles in climate series: The fractional sinusoidal waveform processTommaso Proietti and Federico Maddanu Journal of Econometrics, 2024, vol. 239, issue 1 Abstract: The paper proposes a novel model for time series displaying persistent stationary cycles, the fractional sinusoidal waveform process. The underlying idea is to allow the parameters that regulate the amplitude and phase to evolve according to fractional noise processes. Its advantages with respect to popular alternative specifications, such as the Gegenbauer process, are twofold: the autocovariance function is available in closed form, which opens the way to exact maximum likelihood estimation; secondly, the model encompasses deterministic cycles, so that discrete spectra arise as a limiting case. A generalization of the process, featuring multiple components, an additive ‘red noise’ component and exogenous variables, provides the basic model for climate time series with mixed spectra. Our illustrations deal with the change in amplitude and phase of the intra-annual component of carbon dioxide concentrations in Mauna Loa, and with the estimation and the quantification of the contribution of orbital cycles to the variability of paleoclimate time series. Keywords: Cyclical long memory; Seasonal models; Mixed spectrum (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987 DOI: 10.1016/j.jeconom.2022.04.008 Access Statistics for this article Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson More articles in Journal of Econometrics from Elsevier |
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