Wavelet Based Periodic Autoregressive Moving Average Models
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arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866916143671803904 |
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| author | Davis, Rhea Balakrishna, N. |
| author_facet | Davis, Rhea Balakrishna, N. |
| contents | This paper proposes a wavelet-based method for analysing periodic autoregressive moving average (PARMA) time series. Even though Fourier analysis provides an effective method for analysing periodic time series, it requires the estimation of a large number of Fourier parameters when the PARMA parameters do not vary smoothly. The wavelet-based analysis helps us to obtain a parsimonious model with a reduced number of parameters. We have illustrated this with simulated and actual data sets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_00281 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Wavelet Based Periodic Autoregressive Moving Average Models Davis, Rhea Balakrishna, N. Methodology Statistics Theory 62M10 This paper proposes a wavelet-based method for analysing periodic autoregressive moving average (PARMA) time series. Even though Fourier analysis provides an effective method for analysing periodic time series, it requires the estimation of a large number of Fourier parameters when the PARMA parameters do not vary smoothly. The wavelet-based analysis helps us to obtain a parsimonious model with a reduced number of parameters. We have illustrated this with simulated and actual data sets. |
| title | Wavelet Based Periodic Autoregressive Moving Average Models |
| topic | Methodology Statistics Theory 62M10 |
| url | https://arxiv.org/abs/2403.00281 |