Least-squares estimation and ANOVA for periodic autoregressive time series

被引：8
|
作者：
Shao, Q
Ni, PP
机构：
[1] Univ Toledo, Dept Math, Toledo, OH 43606 USA
[2] Berlex Labs Inc, Montville, NJ 07045 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2004年 / 69卷 / 03期
关键词：
periodically correlated time series; periodic autocovariances; periodic autoregressive moving-average models; least squares estimation; analysis of variance;
D O I：
10.1016/j.spl.2004.06.023
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The periodic correlation exists throughout the whole process in a analysis of variance (ANOVA) type model where the error terms consist of a periodic autoregressive time series. This paper studies the asymptotic property of least-squares estimators and linear testable hypotheses with a modified F-test in the analysis of variance akin to periodic autoregressive series. The techniques are applied in making inference on the quarterly streamflow in Asotin, WA. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码：287 / 297
页数：11
相关论文
共 50 条
12345