On multiple periodic autoregression
Anděl, Jiří
Applications of Mathematics, Tome 32 (1987), p. 63-80 / Harvested from Czech Digital Mathematics Library
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The model of periodic autoregression is generalized to the multivariate case. The autoregressive matrices are periodic functions of time. The mean value of the process can be a non-vanishing periodic sequence of vectors. Estimators of parameters and tests of statistical hypotheses are based on the Bayes approach. Two main versions of the model are investigated, one with constant variance matrices and the other with periodic variance matrices of the innovation process.

Publié le : 1987-01-01
Classification:  62F15,  62M07,  62M09,  62M10 
@article{104237,
     author = {Ji\v r\'\i\ And\v el},
     title = {On multiple periodic autoregression},
     journal = {Applications of Mathematics},
     volume = {32},
     year = {1987},
     pages = {63-80},
     zbl = {0634.62086},
     mrnumber = {0879331},
     language = {en},
     url = {http://dml.mathdoc.fr/item/104237}
}

Anděl, Jiří. On multiple periodic autoregression. Applications of Mathematics, Tome 32 (1987) pp. 63-80. http://gdmltest.u-ga.fr/item/104237/

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