# Statistical analysis of periodic autoregression

Aplikace matematiky (1983)

- Volume: 28, Issue: 5, page 364-385
- ISSN: 0862-7940

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topAnděl, Jiří. "Statistical analysis of periodic autoregression." Aplikace matematiky 28.5 (1983): 364-385. <http://eudml.org/doc/15316>.

@article{Anděl1983,

abstract = {Methods for estimating parameters and testing hypotheses in a periodic autoregression are investigated in the paper. The parameters of the model are supposed to be random variables with a vague prior density. The innovation process can have either constant or periodically changing variances. Theoretical results are demonstrated on two simulated series and on two sets of real data.},

author = {Anděl, Jiří},

journal = {Aplikace matematiky},

keywords = {periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data; periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data},

language = {eng},

number = {5},

pages = {364-385},

publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},

title = {Statistical analysis of periodic autoregression},

url = {http://eudml.org/doc/15316},

volume = {28},

year = {1983},

}

TY - JOUR

AU - Anděl, Jiří

TI - Statistical analysis of periodic autoregression

JO - Aplikace matematiky

PY - 1983

PB - Institute of Mathematics, Academy of Sciences of the Czech Republic

VL - 28

IS - 5

SP - 364

EP - 385

AB - Methods for estimating parameters and testing hypotheses in a periodic autoregression are investigated in the paper. The parameters of the model are supposed to be random variables with a vague prior density. The innovation process can have either constant or periodically changing variances. Theoretical results are demonstrated on two simulated series and on two sets of real data.

LA - eng

KW - periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data; periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data

UR - http://eudml.org/doc/15316

ER -

## References

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- W. P. Cleveland G. C. Tiao, Modeling seasonal time series, Rev. Economic Appliquée 32 (1979), 107-129. (1979) Zbl0336.62077
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- J. Janko, Statistical Tables, NČSAV, Prague, 1958 (in Czech). (1958) MR0150924
- N. L. Johnson S. Kotz, Distributions in Statistics: Continuous Multivariate Distributions, Wiley, New York, 1972. (1972) Zbl0248.62021MR0418337
- R. H. Jones W. M. Brelsford, 10.1093/biomet/54.3-4.403, Biometrika 54 (1967), 403-408. (1967) Zbl0153.47706MR0223041DOI10.1093/biomet/54.3-4.403
- H. J. Newton, 10.1080/00401706.1982.10487731, Technometrics 24 (1982), 109-116. (1982) Zbl0485.62109MR0655574DOI10.1080/00401706.1982.10487731
- M. Pagano, 10.1214/aos/1176344376, Ann. Statist. 6 (1978), 1310-1317. (1978) Zbl0392.62073MR0523765DOI10.1214/aos/1176344376
- C. G. Tiao M. R. Grupe, Hidden periodic autoregressive-moving average models in time series data, Biometrika 67 (1980), 365-373. (1980) Zbl0436.62076MR0581732
- A. Zellner, An Introduction to Bayesian Inference in Econometrics, Wiley, New York, 1971. (1971) Zbl0246.62098MR0433791

## Citations in EuDML Documents

top- Tomáš Cipra, Periodic moving average process
- Jiří Anděl, Asunción Rubio, Antonio Insua, On periodic autoregression with unknown mean
- Jiří Anděl, Periodic autoregression with exogenous variables and periodic variances
- Jiří Anděl, Asunción Rubio, On interpolation in periodic autoregressive processes
- Jiří Anděl, On multiple periodic autoregression
- Tomáš Cipra, Statistical analysis of multiple moving average processes using periodicity

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