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http://dx.doi.org/10.5351/CKSS.2012.19.3.507

Estimation of Layered Periodic Autoregressive Moving Average Models  

Lee, Sung-Duck (Department of Information & Statistics, Chungbuk National University)
Kim, Jung-Gun (Department of Information & Statistics, Chungbuk National University)
Kim, Sun-Woo (Department of Information & Statistics, Chungbuk National University)
Publication Information
Communications for Statistical Applications and Methods / v.19, no.3, 2012 , pp. 507-516 More about this Journal
Abstract
We study time series models for seasonal time series data with a covariance structure that depends on time and the periodic autocorrelation at various lags $k$. In this paper, we introduce an ARMA model with periodically varying coefficients(PARMA) and analyze Arosa ozone data with a periodic correlation in the practical case study. Finally, we use a PARMA model and a seasonal ARIMA model for data analysis and show the performance of a PARMA model with a comparison to the SARIMA model.
Keywords
Periodic correlation; SARIMA; PARMA; layered model;
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