Identification of Periodic Moving-Average Models

Abstract

Abstract ARMA models with seasonally-varying parameters and orders, known as periodic ARMA (PARMA) models, have found wide applications in modeling of seasonal processes. This article considers the identification of orders of periodic MA (PMA) models. The identification is based on the cut-off property of the periodic autocorrelation function (PeACF). We derive an explicit expression for the asymptotic variance of the sample PeACF to be used in establishing its bands. A simulated example is also provided which agrees well with the theoretical results.