A time series model combining a first-order periodic autoregressive structure with classical Box-Jenkins seasonality is introduced. Periodic stationarity conditions for the model are established and its autocovariance function is derived. The limit distribution of least squares estimates of the model parameters are obtained.

TR Number: 
2002-23
Ishwar V. Basawa, Robert Lund and Qin Shao
Key Words: 
Periodic time series, seasonality, autoregression, periodic autocovariances, asymptotics

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