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Media type:
E-Article
Title:
Hidden Periodic Autoregressive-Moving Average Models in Time Series Data
Contributor:
Tiao, G. C.;
Grupe, M. R.
imprint:
Biometrika Trust, 1980
Published in:Biometrika
Language:
English
ISSN:
0006-3444
Origination:
Footnote:
Description:
<p>Some properties of a class of periodic models for characterizing seasonal time series are explored. The relationships between periodic models and multiple autoregressive-moving average models are developed and used to gain insight into the behaviour of periodic models. In particular it is shown how homogeneous autoregressive-moving average models may be mistakenly specified for series in which periodic properties are present. Consequences of such misspecification on forecasting and diagnostic checking are also derived.</p>