Wavelet Based Periodic Autoregressive Moving Average Models

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.