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Innovations algorithm for periodically stationary time series

✍ Scribed by Paul L. Anderson; Mark M. Meerschaert; Aldo V. Vecchia


Book ID
108433037
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
157 KB
Volume
83
Category
Article
ISSN
0304-4149

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A periodically integrated (PI) time series process assumes that the stochastic trend can be removed using a seasonally varying differencing filter. In this paper the multi-step forecast error variances are derived for a quarterly PI time series when low-order periodic autoregressions adequately desc