ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES

1 January 1993

journal article
Published by Wiley in Journal of Time Series Analysis

Vol. 14 (1) , 1-18
https://doi.org/10.1111/j.1467-9892.1993.tb00126.x

Abstract

This paper is concerned with the derivation of asymptotic distributions for the sample autocovariance and sample autocorrelation functions of periodic autoregressive moving‐average processes, which are useful in modelling periodically stationary time series. In an effort to obtain a parsimonious model representing a periodically stationary time series, the asymptotic properties of the discrete Fourier transform of the estimated periodic autocovariance and autocorrelation functions are presented. Application of the asymptotic results to some specific models indicates their usefulness for model identification analysis.

Keywords

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