Derivation of the theoretical autocovariance function of a causal autoregressive moving-average process of order (p,q), ARMA(p,q), when q greater than or equal to 1 is considered. A recursive relationship is established between the covariance matrices of an ARMA(p,q) process and its associated...

In this paper, we propose a goodness-of-fit test of normality for the innovations of an ARMA(p,q) model with known mean or trend. The test is based on the data driven smooth test approach and is simple to perform. An extensive simulation study is conducted to study the behaviour of the test for...

This paper studies correlation and partial autocorrelation properties of periodic autoregressive moving-average (PARMA) time series models. An efficient algorithm to compute PARMA autocovariances is first derived. An innovations based algorithm to compute partial autocorrelations for a general...

In this paper, we develop a Bartlett correction for the likelihood ratio statistic used to test hypotheses about parameters of a Gaussian stationary and invertible model belonging to the ARMA (autoregressive moving average) family. Alternative hypotheses with and without disturbance parameters...

We consider the estimation of the location of the pole and memory parameter Wo and d of a covariance stationary process with spectral density (see paper for formula). We investigate optimal rates of convergence for the estimators of Wo and d, and the consequence that the lack of knowledge of Wo...

We demonstrate that the fast and exact Davies-Harte algorithm is valid for simulating a certain class of stationary Gaussian processes - those with a negative auto-covariance sequence for all non-zero lags. The result applies to well known classes of long memory processes: Gaussian fractionally...

This paper derives second-order expansions for the distributions of the Whittle and profile plug-in maximum likelihood estimators of the fractional difference parameter in the ARFIMA(0,d,0) with unknown mean and variance. Both estimators are shown to be second-order pivotal. This extends earlier...

This paper deals with the estimation of linear dynamic models of the ARMA type for the conditional mean for time series with conditionally heteroskedastic innovation process widely used in modelling financial time series. Estimation is performed using subspace methods which are known to have...

The basic principle of the management of institutions directed to the public attendance consists of sound informationwhich is able to help in decision-making. Thus, the knowledge in the managemental aspect is widened enabling forimprovement in service quality and reduction in expenses. It is...