First-order seasonal autoregressive processes with periodically varying parameters

I. V. Basawa, Robert Lund and Qin Shao

Statistics & Probability Letters, 2004, vol. 67, issue 4, 299-306

Abstract: A time series model combining a first-order periodic autoregressive structure and the Box-Jenkins multiplicative seasonal autoregressive model is introduced. Stationarity conditions (in the periodic sense) for this so-called SPAR(1,1) process are established and its autocovariances are derived. Least-squares estimates of the model parameters are obtained and their limit distribution is derived. An extension to higher-order SPARMA models is suggested.

Keywords: Autoregression; Least-squares; estimation; Limit; distributions; Periodic; time; series; Seasonality (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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