Statistical analysis of periodic autoregression

Jiří Anděl

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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.