| Title:
|
Statistical analysis of periodic autoregression (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
28 |
| Issue:
|
5 |
| Year:
|
1983 |
| Pages:
|
364-385 |
| Summary lang:
|
English |
| Summary lang:
|
Czech |
| Summary lang:
|
Russian |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
periodic autoregression |
| Keyword:
|
vague prior density |
| Keyword:
|
innovation process |
| Keyword:
|
changing variances |
| Keyword:
|
simulated series |
| Keyword:
|
real data |
| MSC:
|
62F15 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0537.62073 |
| idMR:
|
MR0712913 |
| DOI:
|
10.21136/AM.1983.104048 |
| . |
| Date available:
|
2008-05-20T18:23:12Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/104048 |
| . |
| Reference:
|
[1] J. Anděl: The Statistical Analysis of Time Series.SNTL, Prague 1976 (in Czech). |
| Reference:
|
[2] J. Anděl: Mathematical Statistics.SNTL, Prague, 1978 (in Czech). |
| Reference:
|
[3] G. E. P. Box G. M. Jenkins: Time Series Analysis, Forecasting and Control.Holden Day, San Francisco, 1970. MR 0272138 |
| Reference:
|
[4] G. E. P. Box G. C. Tiao: Intervention analysis with applications to economic and environmental problems.J. Amer. Statist. Assoc. 70 (1975), 70-79. MR 0365957, 10.1080/01621459.1975.10480264 |
| Reference:
|
[5] W. P. Cleveland G. C. Tiao: Modeling seasonal time series.Rev. Economic Appliquée 32 (1979), 107-129. |
| Reference:
|
[6] E. G. Gladyshev: Periodically correlated random sequences.Soviet Math. 2 (1961), 385-388. Zbl 0212.21401 |
| Reference:
|
[7] E. G. Gladyshev: Periodically and almost periodically correlated random processes with continuous time parameter.Theory Prob. Appl. 8 (1983), 173-177. |
| Reference:
|
[8] J. Janko: Statistical Tables.NČSAV, Prague, 1958 (in Czech). MR 0150924 |
| Reference:
|
[9] N. L. Johnson S. Kotz: Distributions in Statistics: Continuous Multivariate Distributions.Wiley, New York, 1972. MR 0418337 |
| Reference:
|
[10] R. H. Jones W. M. Brelsford: Time series with periodic structure.Biometrika 54 (1967), 403-408. MR 0223041, 10.1093/biomet/54.3-4.403 |
| Reference:
|
[11] H. J. Newton: Using periodic autoregression for multiple spectral estimation.Technometrics 24 (1982), 109-116. MR 0655574, 10.1080/00401706.1982.10487731 |
| Reference:
|
[12] M. Pagano: On periodic and multiple autoregression.Ann. Statist. 6 (1978), 1310-1317. MR 0523765, 10.1214/aos/1176344376 |
| Reference:
|
[13] C. G. Tiao M. R. Grupe: Hidden periodic autoregressive-moving average models in time series data.Biometrika 67 (1980), 365-373. MR 0581732 |
| Reference:
|
[14] A. Zellner: An Introduction to Bayesian Inference in Econometrics.Wiley, New York, 1971. Zbl 0246.62098, MR 0433791 |
| . |
