Wavelet Based Periodic Autoregressive Moving Average Models

2024/03/01 by Rhea Davis, Davis, Rhea, N. Balakrishna +1
Computer Science · #Neural Networks and Applications

paper · pdf · doi:10.48550/arxiv.2403.00281

Abstract

This paper proposes a wavelet-based method for analysing periodic autoregressive moving average (PARMA) time series. Even though Fourier analysis provides an effective method for analysing periodic time series, it requires the estimation of a large number of Fourier parameters when the PARMA parameters do not vary smoothly. The wavelet-based analysis helps us to obtain a parsimonious model with a reduced number of parameters. We have illustrated this with simulated and actual data sets.

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