Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.785221
Title: ARMA model for random periodic processes
Author: Liu, Yujia
ISNI:       0000 0004 7970 7630
Awarding Body: Loughborough University
Current Institution: Loughborough University
Date of Award: 2019
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Abstract:
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 in causal and invertible case. We also prove the central limit theorem for random periodic processes. Under this and ergodic theorem, we prove the asymptotic normality of maximum likelihood estimation for non-causal autoregressive model for random periodic processes. We simulate ARMA model for random periodic processes to two examples and compare the results with classical ARMA model.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.785221  DOI:
Keywords: Mathematical Sciences not elsewhere classified ; Random periodic processes ; ARMA model ; Central limit theorem ; Asymptotic normality ; Causal case ; Non-causal case ; Simulation
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