A methodology is presented for analyzing periodic autoregressions which is also applicable when inferring the second order properties of periodically correlated processes. In addition, capitalizing on the connection between periodic and multiple autoregressions, a method is set forth for analyzing the latter, which overcomes the usual requirements of a large number of both parameters and computer storage locations. This is achieved by introducing an orthogonal parameterization for multiple autoregressions.
Publié le : 1978-11-14
Classification:
Periodically correlated,
periodic and multiple autoregressions,
orthogonal parametrization,
62M10,
62M20,
62H99
@article{1176344376,
author = {Pagano, Marcello},
title = {On Periodic and Multiple Autoregressions},
journal = {Ann. Statist.},
volume = {6},
number = {1},
year = {1978},
pages = { 1310-1317},
language = {en},
url = {http://dml.mathdoc.fr/item/1176344376}
}
Pagano, Marcello. On Periodic and Multiple Autoregressions. Ann. Statist., Tome 6 (1978) no. 1, pp. 1310-1317. http://gdmltest.u-ga.fr/item/1176344376/