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.

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.