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Single-season heteroscedasticity in time series

โœ Scribed by Yorghos Tripodis; Jeremy Penzer

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
206 KB
Volume
26
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

Abstract

We consider seasonal time series in which one season has variance that is different from all the others. This behaviour is evident in indices of production where variability is highest for the month with the lowest level of production. We show that when one season has different variability from others there are constraints on the seasonal models that can be used; neither dummy and trigonometric models are effective in modelling this type of behaviour. We define a general model that provides an appropriate representation of singleโ€season heteroscedasticity and suggest a likelihood ratio test for the presence of periodic variance in one season.โ€‰โ€‰Copyright ยฉ 2007 John Wiley & Sons, Ltd.

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