Displaying similar documents to “Statistical analysis of periodic autoregression”

Periodic autoregression with exogenous variables and periodic variances

Jiří Anděl (1989)

Aplikace matematiky

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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.

On periodic autoregression with unknown mean

Jiří Anděl, Asunción Rubio, Antonio Insua (1985)

Aplikace matematiky

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If the parameters of an autoregressive model are periodic functions we get a periodic autoregression. In the paper the case is investigated when the expectation can also be a periodic function. The innovations have either constant or periodically changing variances.

On multiple periodic autoregression

Jiří Anděl (1987)

Aplikace matematiky

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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.