Periodic autoregression with exogenous variables and periodic variances

Jiří Anděl

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Displaying similar documents to “Periodic autoregression with exogenous variables and periodic variances”

Statistical analysis of periodic autoregression

Jiří Anděl (1983)

Aplikace matematiky

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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.

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.