Autori: Eugen Ursu and Pierre Duchesne

Editorial: Statistics and Probability Letters, 79, p.2045-2052, 2009.

Rezumat:

Many time series encountered in real applications display seasonal behavior. In this paper, we consider multiplicative seasonal vectorial autoregressive moving average (SVARMA) models to describe seasonal vector time series. We discuss conditional maximum likelihood estimation of the model parameters, allowing them to satisfy general linear constraints. Having fitted a model, residual autocovariances (or autocorrelations) have been found useful in checking time series models. Consequently, we obtain the asymptotic distributions of the residual autocovariance matrices. As applications of these results,
Portmanteau test statistics are proposed and their asymptotic distributions are studied. The
finite-sample properties of the test statistics are evaluated using Monte Carlo experiments.

Cuvinte cheie: seasonal time series, portmanteau test