Periodic autoregression with exogenous variables and periodic variances

Jiří Anděl

Aplikace matematiky (1989)

  • Volume: 34, Issue: 5, page 387-395
  • ISSN: 0862-7940

Abstract

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The periodic autoregressive process with non-vanishing mean and with exogenous variables is investigated in the paper. It is assumed that the model has also periodic variances. The statistical analysis is based on the Bayes approach with a vague prior density. Estimators of the parameters and asymptotic tests of hypotheses are derived.

How to cite

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Anděl, Jiří. "Periodic autoregression with exogenous variables and periodic variances." Aplikace matematiky 34.5 (1989): 387-395. <http://eudml.org/doc/15592>.

@article{Anděl1989,
abstract = {The periodic autoregressive process with non-vanishing mean and with exogenous variables is investigated in the paper. It is assumed that the model has also periodic variances. The statistical analysis is based on the Bayes approach with a vague prior density. Estimators of the parameters and asymptotic tests of hypotheses are derived.},
author = {Anděl, Jiří},
journal = {Aplikace matematiky},
keywords = {parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests; Bayes approach; testing hypotheses; parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests},
language = {eng},
number = {5},
pages = {387-395},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Periodic autoregression with exogenous variables and periodic variances},
url = {http://eudml.org/doc/15592},
volume = {34},
year = {1989},
}

TY - JOUR
AU - Anděl, Jiří
TI - Periodic autoregression with exogenous variables and periodic variances
JO - Aplikace matematiky
PY - 1989
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 34
IS - 5
SP - 387
EP - 395
AB - The periodic autoregressive process with non-vanishing mean and with exogenous variables is investigated in the paper. It is assumed that the model has also periodic variances. The statistical analysis is based on the Bayes approach with a vague prior density. Estimators of the parameters and asymptotic tests of hypotheses are derived.
LA - eng
KW - parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests; Bayes approach; testing hypotheses; parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests
UR - http://eudml.org/doc/15592
ER -

References

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  1. J. Anděl, Statistical analysis of periodic autoregression, Apl. mat. 28 (1983), 364-385. (1983) MR0712913
  2. J. Anděl, Periodic autoregression with exogenous variables and equal variances, Proc. 5th Pannonian Symp., 237-245. Akadémiai Kiadó, Budapest 1987. (Eds.: Grossmann, Mogyoródi, Vincze, Wertz.) (1987) MR0956701
  3. J. Anděl A. Rubio A. Insua, On periodic autoregression with unknown mean, Apl. mat. 30 (1985), 126-139. (1985) Zbl0585.62152MR0778983
  4. H. J. Newton, 10.1080/00401706.1982.10487731, Technometrics 24 (1982), 109-116. (1982) Zbl0485.62109MR0655574DOI10.1080/00401706.1982.10487731
  5. M. Pagano, 10.1214/aos/1176344376, Ann. Statist. 6 (1978), 1310-1317. (1978) Zbl0392.62073MR0523765DOI10.1214/aos/1176344376

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