کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1153977 | 958362 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On multiplicative seasonal modelling for vector time series
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On multiplicative seasonal modelling for vector time series On multiplicative seasonal modelling for vector time series](/preview/png/1153977.png)
چکیده انگلیسی
Many time series encountered in real applications display seasonal behavior. In this paper, we consider multiplicative seasonal vectorial autoregressive moving average (SVARMA) models to describe seasonal vector time series. We discuss conditional maximum likelihood estimation of the model parameters, allowing them to satisfy general linear constraints. Having fitted a model, residual autocovariances (or autocorrelations) have been found useful in checking time series models. Consequently, we obtain the asymptotic distributions of the residual autocovariance matrices. As applications of these results, Portmanteau test statistics are proposed and their asymptotic distributions are studied. The finite-sample properties of the test statistics are evaluated using Monte Carlo experiments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 79, Issue 19, 1 October 2009, Pages 2045-2052
Journal: Statistics & Probability Letters - Volume 79, Issue 19, 1 October 2009, Pages 2045-2052
نویسندگان
Eugen Ursu, Pierre Duchesne,