Eugen Ursu

On modelling and diagnostic checking of vector periodic autoregressive time series models

Vector periodic autoregressive time series models (PVAR) form an important class of time series for modelling data derived from climatology, hydrology, economics and electrical engineering, among others. In this article, we derive the asymptotic distributions of the least squares estimators of the model parameters in PVAR models, allowing the parameters in a given season to satisfy linear constraints. Residual autocorrelations from classical vector autoregressive and moving-average models have been found useful for checking the adequacy of a particular model. In view of this, we obtain the asymptotic distribution of the residual autocovariance matrices in the class of PVAR models, and the asymptotic distribution of the residual autocorrelation matrices is given as a corollary. Portmanteau test statistics designed for diagnosing the adequacy of PVAR models are introduced and we study their asymptotic distributions. The proposed test statistics are illustrated in a small simulation study, and an application with bivariate quarterly West German data is presented. Copyright 2008 The Authors. Journal compilation 2008 Blackwell Publishing Ltd

Periodic Autoregressive Model Identification Using Genetic Algorithms

Periodic autoregressive (PAR) models extend the classical autoregressive models by allowing the parameters to vary with seasons. Selecting PAR time‐series models can be computationally expensive, and the results are not always satisfactory. In this article, we propose a new automatic procedure to the model selection problem by using the genetic algorithm. The Bayesian information criterion is used as a tool to identify the order of the PAR model. The success of the proposed procedure is illustrated in a small simulation study, and an application with monthly data is presented.

Application of periodic autoregressive process to the modeling of the Garonne river flows

Accurate forecasting of river flows is one of the most important applications in hydrology, especially for the management of reservoir systems. To capture the seasonal variations in river flow statistics, this paper develops a robust modeling approach to identify and to estimate periodic autoregressive (PAR) model in the presence of additive outliers. Since the least squares estimators are not robust in the presence of outliers, we suggest a robust estimation based on residual autocovariances. A genetic algorithm with Bayes information criterion is used to identify the optimal PAR model. The method is applied to average monthly and quarter-monthly flow data (1959–2010) for the Garonne river in the southwest of France. Results show that the accuracy of forecasts is improved in the robust model with respect to the unrobust model for the quarter-monthly flows. By reducing the number of parameters to be estimated, the principle of parsimony favors the choice of the robust approach.