Periodically Correlated Processes

Ewa Broszkiewicz-Suwaj
Rafal Weron
Agnieszka Wylomańska

Hugo Steinhaus Center

Wroclaw University of Technology
www.im.pwr.wroc.pl/˜hugo/

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Periodically Correlated Processes 1

Introduction
DEFINITION 1.1 The stochastic process {X(t, ω), t ∈ I} defined
on the probability space L2 (Ω, F, P ) is called periodically correlated
(PC) with period T if T is the smallest integer such that:

E{X(u)} = m(u) = m(u + T ),

E{(X(u) − m(u))(X(v) − m(v))} = R(u, v) = R(u + T, v + T ),

for every (u, v) ∈ I × I.
A stationary sequence is periodically correlated with T = 1.

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Periodically Correlated Processes 2

Introduction cont.
• PC processes are a class of processes which are in general
nonstationary but exhibit many of the properties of stationary
processes
• PC processes have been used as models in meteorology, radio
physics and communications engineering
• PC processes have been called periodically nonstationary,
cyclostationary, periodically stationary and processes with
periodic structure

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Periodically Correlated Processes 3

Simple models for PC sequences

• If X(t) ∈ L2 (Ω, F, P ) is a periodic sequence with period T , then
X(t) is PC.
• If X(t) ∈ L2 (Ω, F, P ) is wide sense stationary with E{X(t)} = 0
and f (t) is a scalar periodic sequence f (t) = f (t + T ), then

Y (t) = f (t) + X(t)

is PC with period T.

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Periodically Correlated Processes 4

Simple models for PC sequences cont.

• If X(t) ∈ L2 (Ω, F, P ) is wide sense stationary with E{X(t)} = 0
and f (t) is a scalar periodic sequence f (t) = f (t + T ), then

Y (t) = f (t)X(t)

is PC with period T.
• If X(t) ∈ L2 (Ω, F, P ) is wide sense stationary with E{X(t)} = 0
and f (t) is a scalar periodic sequence f (t) = f (t + T ) taking
values in the index set, then

Y (t) = X(t + f (t))

is PC with period T.

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Periodically Correlated Processes 5

Spectral representation of PC processes

Gladyshev (1961) showed that the covariance RX (m, n) of PC

processes has representation
Z 2π Z 2π
RX (m, n) = eimω1 −inω2 fZ (ω1 , ω2 )dω1 dω2 (1)
0 0

The support of spectral density fZ (ω1 , ω2 ) is then contained in the

set of 2[T ] − 1 diagonal lines
S
S = k∈Z {[ω1 , ω2 ] ∈ [0, 2π) × [0, 2π) : ω1 = ω2 + 2kπ/T }
where T is the period of the correlation function. It follows that the
spectral density function is given by

 f (ω , ω )
Z 1 2 [ω1 , ω2 ] ∈ S
fZ (ω1 , ω2 ) =
 0 [ω1 , ω2 ] ∈
/S

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Periodically Correlated Processes 6

Spectral representation of PC processes cont.

(0,2π) Stationary process (2π,2π) (0,2π) PC process (2π,2π)

2π/T
ωq

ωq
(0,0) (2π,0) (0,0) (2π,0)
ωp ωp

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Periodically Correlated Processes 7

Measuring periodic correlation

To investigate the presence of periodic correlation we can use a

statistic which is called sample coherence and is defined as

PM −1
2 | IN (ωp+m )IN (ωq+m )|2
m=0
|γ̂(p, q, M )| = PM −1 PM −1 , (2)
2 2
m=0 |IN (ωp+m )| m=0 |IN (ωq+m )|

• 0 < p, q ≤ N , N is the sample length

• M is the smoothness coefficient
It takes only real values between 0 and 1. For PC processes the
values taken on the support lines are significantly different from those
taken for the intermediate frequencies.

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Periodically Correlated Processes 8

Measuring periodic correlation cont.

There are two standard graphical tools for detecting periodic

correlation. Both are based on sample coherence.
• The coherent statistic is defined as |γ̂(0, d, N )|2 , where
d = |q − p|.
• The incoherent statistic is given by
L
1 X
δ(d, M ) = |γ̂(pM, pM + d, M )|2 ,
L + 1 p=0
 N −1−d 
where L = M .
Peaks in one-dimensional plots of both statistics indicate periods of
length T = 1/d.

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Periodically Correlated Processes 9

Measuring periodic correlation cont.

We propose the measure of fitness (MoF) statistic

N
1 X
M oF (d, M ) = κα (p, p + d, M )
N p=1

where

 1 |γ̂(p, q, M )|2 ≥ ĉα
• κα (p, q, M ) =
 0 |γ̂(p, q, M )|2 < ĉα
• α is the confidence level
• ĉα is the estimator of the critical value
The estimator ĉα is computed using the Moving Blocks
Bootstrap(MBB) procedure

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Periodically Correlated Processes 10

Measuring periodic correlation cont.

For a sample {X1 , . . . , XN } the method for computing estimator ĉα

based on the MBB procedure consists of the following
• denote blocks of length b as Bi = (Xi , . . . , Xi+b−1 ) ,
i = 1, . . . , N − b + 1
• draw from the set {Bi : i = 1, . . . , N − b + 1} a number k = [N/b]
of blocks and construct the bootstrap sample
{X1∗ , . . . , Xl∗ } = {B1∗ , . . . , Bk∗ } by gluing the blocks together
• compute the coherence statistic |γ̂i∗ (p, q, M )|2 at each point (p, q),
B times for each bootstrap sample
• approximate the critical value ĉα as the 1 − α quantile of the
bootstrap distribution. It is the [α · N ]-th largest value of the
sequence {|γ̂1∗ (p, q, M )|2 , . . . , |γ̂B
∗
(p, q, M )|2 }

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Example 1
Time Series Coherent Statistic
20 1

0 0.5

−20 0
0 100 200 300 400 0 1/8 2/8 3/8 4/8
t ωd

Incoherent Statistic MoF Statistic

1 1.5

1
0.5
0.5

0 0
0 1/8 2/8 3/8 4/8 0 1/8 2/8 3/8 4/8
ωd ωd

Figure 1: PC process Xn = Sn · f 2 (n), where f (n) = mod(n, 8). The

test parameters: M =20, B=100, α=0.01, N =400.

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Periodically Correlated Processes 12

Example 2
x 10
7 Time Series Coherent Statistic
5 1

0.98
0
0.96
−5
0.94
100 200 300 400 0 1/4 2/4
t ωd

Incoherent Statistic MoF Statistic

1 1.5

0.98 1

0.96 0.5

0.94 0
0 1/4 2/4 0 1/4 2/4
ωd ωd

Figure 2: PC process Xn = Sn · exp[8 · {1 + sin( πn

2 ) · 4
5 ξn }]. The test
parameters: M =20, B=100, α=0.01, N =400.

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Example 3
Time Series Coherent Statistic
0.2 0.2

0 0.1

−0.2 0
500 1000 1500 2000 0 2/24 4/24 6/24 8/24 10/24 12/24
ωj ωd

Incoherent Statistic MoF Statistic

0.4 1

0.2 0.5

0 0
0 2/24 4/24 6/24 8/24 10/24 12/24 0 2/24 4/24 6/24 8/24 10/24 12/24
ωd ωd

Figure 3: Hourly returns of Nord Pool electricity spot prices during

the period January 1st, 1997 – December 25th, 2001(100 days). The
test parameters: M =20, B=100 and α=0.01, N =2400.

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Periodically Correlated Processes 14

Example 4
Time Series Coherent Statistic
0.4 0.1

0.2
0 0.05

−0.2
0
100 200 300 400 0 1/12 2/12 3/12 4/12 5/12 6/12
t ωd

Incoherent Statistic MoF Statistic

0.2 0.4

0.1 0.2

0 0
0 1/12 2/12 3/12 4/12 5/12 6/12 0 1/12 2/12 3/12 4/12 5/12 6/12
ωd ωd

Figure 4: Monthly AROSA Switzerland Ozone levels. The test param-

eters: M =20, B=100 and α=0.01, N =480.

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Periodically Correlated Processes 15

Example 5
Time Series Coherent Statistic
0.2
10

0 0.1

−10
0
200 400 600 0 2/24 4/24 6/24 8/24 10/24 12/24
t ωd

Incoherent Statistic MoF Statistic

0.2 0.4

0.1 0.2

0 0
0 2/24 4/24 6/24 8/24 10/24 12/24 0 2/24 4/24 6/24 8/24 10/24 12/24
ωd ωd

Figure 5: Hourly temperatures in Wroclaw from January 1993. The

test parameters: M =20, B=100 and α=0.01, N =720.

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Periodically Correlated Processes 16

Example 6
Time Series Coherent Statistic
0.2
2000

0 0.1

−2000
0
20 40 60 80 100 120 0 1/4 1/2
t ωd

Incoherent Statistic MoF Statistic

0.2 0.4

0.1 0.2

0 0
0 1/4 1/2 0 1/4 1/2
ωd ωd

Figure 6: Quarterly real total investment in the United Kingdom 1955-

1988. The test parameters: M =20, B=100 and α=0.01, N =138.

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Periodically Correlated Processes 17

PARMA models cont.

DEFINITION 1.2 The system PARMA(p,q) is defined as:
p
X q−1
X
X(n) − φk (n)X(n − k) = θk (n)ξn−k , (3)
k=1 k=0

where the sequences {φk (n)} and {θk (n)} are periodic in n with the
same period T and ξk is uncorrelated sequence of random variables
with mean 0 and unit variance.

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Periodically Correlated Processes 18

PARMA vs. VARMA

We arrange coefficients of the left and right-hand sides of (3) into

T × (l + 1)T i T × (r + 1)T matrices as follows

 
1 −φ1 (0) −φ2 (0) ... −φp (0) 0 ... 0
 
 0
 1 −φ1 (1) ... −φp−1 (1) −φp (1) ... 0 
 
 0
 0 1 −φ1 (2) ... −φp−2 (2) ... 0 
.. ..
 
 

 . . 

0 0 ... 1 −φ1 (T − 1) ... −φp (T − 1) ...

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Periodically Correlated Processes 19

PARMA vs. VARMA cont.

 
θ0 (0) θ1 (0) ... θq (0) 0 0 0 0 ... 0
 

 0 θ0 (1) θ1 (1) ... θq (1) 0 0 0 ... 0 

 

 0 0 θ0 (2) θ1 (2) ... θq (2) 0 0 ... 0 
.
.. ..
 
 

 . . 

0 0 0 ... 0 θ1 (T − 1) ... θq (T − 1) ...

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Periodically Correlated Processes 20

PARMA vs. VARMA cont.

We denote the consecutive T × T blocks of the two matrices by

Φ0 ,. . . , Φl and Θ0 ,. . . , Θr , respectively, then (3) can be written as
the T-dimensional vector ARMA (VARMA) system
l
X r
X
X(n) − Φk X(n − k) = Θk Ξn−k (4)
k=1 k=0

where
X(n) = [x(nT ), x(nT − 1), . . . , x((n − 1)T + 1)]t
and
Ξn = [ξnT , ξnT −1 , . . . , ξ(n−1)T +1 ]t .

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Example 7
We consider PARMA(1,1) model with the period T = 2 given by the
formula:

X(n) − φ(n)X(n − 1) = θ0 (n)ξn + θ1 (n)ξn−1 .

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Example 7 cont.
Then the adequate VARMA model has the following matrices of
coefficients:  
1 −φ(0)
Φ1 =  
0 1
 
0 0
Φ2 =  
−φ(1) 0
 
θ0 (0) θ1 (0)
Θ0 =  
0 θ0 (1)
 
0 0
Θ1 =  .
θ1 (1) 0

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ARMA(p,q) models with varying coefficients

DEFINITION 1.3 An ARMA(p,q) system with varying coefficients

is a system of linear equations
p
X q−1
X
X(n) − bk (n)X(n − k) = ak (n)ξn−k , (5)
k=1 k=0

where where (bk (n)), k = 1, . . . , p and (ak (n)), k = 0, . . . , q − 1, are

sequences of complex numbers, and (ξn ) is a sequence of uncorrelated
complex random variables with mean zero and unit variances.

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Periodically Correlated Processes 24

ARMA(p,q) models with varying coefficients

cont.
Let
 
b1 (n) b2 (n) . . . bp−1 (n) bp (n)
 

 1 0 ... 0 0 

 
Bn = 
 0 1 ... 0 0 

 .. .. .. .. .. 

 . . . . . 

0 0 ... 1 0

Bnk = Bn Bn−1 ...Bk , n≥k

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ARMA(p,q) models with varying coefficients

cont.
X(n) h= [X(n), X(n − 1), . . . , X(n i − p + 1)] ‘
Pq−1
Yn = p=0 ap (n)ξn−p , 0, . . . , 0 ‘
Ξn = [ξn , 0, . . . , 0]0
 
aj (n) 0 ··· 0
 
0 0 ··· 0
 
 
aj (n) =  .. .. . . ..
.
.
 

 . . . 

0 0 ··· 0

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Periodically Correlated Processes 26

ARMA(p,q) models with varying coefficients

cont.
Then system (5) has the equivalent form:

X(n) − Bn X(n − 1) = Yn . (6)

The following theorem gives the sufficient and necessary conditions

for existence of a unique bounded solution of equation (6).

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Unique and bounded solutions of ARMA(p,q)

models with varying coefficients

THEOREM 1.1 System (6) has a unique bounded solution iff:

I. (i) supn≥1 ||Bn1 || = ∞ and
P∞ Pq−1+s 2
n+j −1
(ii) supn∈Z s=2−q j=max(1,s) (B n+1 ) aj−s (n + j) < ∞,
or
II. (i) supn≤−1 ||B0n ||−1 = ∞ and
P∞ Pmin (0,q−1−s) n 2
(ii) supn∈Z s=0 j=−s Bn+j+1 as+j (n + j) < ∞.

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Unique and bounded solutions of ARMA(p,q)

models with varying coefficients cont.
THEOREM 1.2 If I is satisfied then the solution has the form
 
∞
X q−1+s
X
X(n) = −  (Bn+j
n+1 )−1
aj−s (n + j) Ξn+s .
s=2−q j=max(1,s)

If II is satisfied then the solution is given by

 
∞ min (0,q−1−s)
X X
X(n) =  Bnn+j+1 as+j (n + j) Ξn−s .
s=0 j=−s

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Unique and bounded solutions of ARMA(p,q)

models with varying coefficients cont.
THEOREM 1.3 Let P = B1 B2 . . . BT . System (5) has a bounded
solution iff ||P || 6= 1. The solution is unique and periodically
correlated with period T.

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Yule-Walker equation for ARMA(p,q) models

THEOREM 1.4 (Yule-Walker equation)
Let {X(n), n ∈ Z} be the solution of system ARMA(p,q) with varying
coefficients and ||P || = ||BT1 || < 1, then the correlation function
satisfies the Yule-Walker equation:
p
X q−1
X
R(n, m) − bj (n)R(n − j, m) = aj (n)Um−n+j (m),
j=1 j=0

where Uj (n) is the first coefficients of the following vector

min (0,q−1−s)
X
Ls (n) = Bnn+j+1 as+j (n + j)[1 0 0 . . . 0]0 .
j=−s

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Example 8
We consider the Nord Pool data of price of energy. We fit the best
PAR(p) model
p
X
X(n) − bj (n)X(n − j) = ξn .
j=1

The best PAR(p) model with respect to Bayesian information

criterion is the PAR(5) model. The P matrix has the following form
 
3.3689 −2.5041 0.7109 0.0821 −0.0315
 
 3.3866 −2.5174 0.7147 0.0825 −0.0317 
 
 
P =  3.4027 −2.5271 0.7180 0.0830 −0.0318 


 
 3.4109 −2.5232 0.7193 0.0835 −0.0319 
 
3.4041 −2.5152 0.7177 0.0834 −0.0318

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Example 8 cont.
The norm of P is less than 1, therefore there is unique bounded
solution of the system, moreover the solution is given by the equation
∞
X
X(n) = Bnn−s+1 Ξn−s
s=0

for the fitted parameters bj (n).

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