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Keywords:
parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests; Bayes approach; testing hypotheses
parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests; Bayes approach; testing hypotheses
Summary:
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.
References:
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[3] J. Anděl A. Rubio A. Insua: On periodic autoregression with unknown mean. Apl. mat. 30 (1985), 126-139. MR 0778983
[4] H. J. Newton: Using periodic autoregression for multiple spectral estimation. Technometrics 24 (1982), 109-116. DOI 10.1080/00401706.1982.10487731 | MR 0655574
[5] M. Pagano: On periodic and multiple autoregression. Ann. Statist. 6 (1978), 1310-1317. DOI 10.1214/aos/1176344376 | MR 0523765
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