ARMA model for random periodic processes

In this thesis, we construct ARMA model for random periodic processes. We stress on the mixed periodicity and randomness of the model and redefined the definition of sample autocovariance function. We prove the asymptotic normality of Yule-Walker estimation and innovation estimation for coefficients...

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Bibliographic Details
Main Author: Yujia Liu
Format: Default Thesis
Published: 2018
Subjects:
Other mathematical sciences not elsewhere classified
Random periodic processes
ARMA model
Central limit theorem
Asymptotic normality
Causal case
Non-causal case
Simulation
Mathematical Sciences not elsewhere classified
Online Access:https://dx.doi.org/10.26174/thesis.lboro.8847779.v1
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https://dx.doi.org/10.26174/thesis.lboro.8847779.v1

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