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A comparison between the autocorellation functions of seasonal ARMA and PARMA models. (English) Zbl 1129.62410

Summary: In this article the seasonal autogressive moving-average (ARMA) model is compared with the periodic ARMA (PARMA) model via their autocorellation functions (ACF). Some low order models of either type are considered and their theoretical ACF are provided. General formulas are observed for the computation of the theoretical ACF of various PARMA models. Some specific examples are given for both types of models and their ACF’s are sketched. while any seasonal ARMA model has a single ACF, it is obseved that, in general, any PARMA model does not have a unique ACF, it may rather has a many ACF’s as the period legth. Thus, can not be a good tool for the identification of PARMA models.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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