Partial autocorrelation parameterisation of models with unit roots on the unit circle

2022/08/09 by Jamie Halliday, Halliday, Jamie, Georgi N. Boshnakov +1
Mathematics · #62M10 (Primary) 93E99 (Secondary) #FOS: Computer and information sciences #Methodology (stat.ME) #msc:62M10 #msc:93E99 #stat.ME

paper · pdf · doi:10.48550/arxiv.2208.05055

11 pages

arxiv created 2022/08/09 · arxiv updated 2022/08/11

Abstract

We propose a parametrization of autoregressive unit roots ARMA models (ARUMA) with partial autocorrelation coefficients to specify the autoregressive and integrated part of the model. We obtain the algebraic properties of the partial autocorrelations in the context of unit roots. The main result is that if a partial autocorrelation sequence contains some values equal to 1 or -1, then it can be split at these values into sub-sequences each of which represents the partial autocorrelations of a factor of the overall polynomial on the left-hand side of the model. A separate paper will discuss the details of the estimation procedure and its properties. An implementation is provided by Boshnakov and Halliday (2022) R package sarima, https://cran.r-project.org/package=sarima (function sarima).

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