| Title:
|
On periodic autoregression with unknown mean (English) |
| Author:
|
Anděl, Jiří |
| Author:
|
Rubio, Asunción |
| Author:
|
Insua, Antonio |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
30 |
| Issue:
|
2 |
| Year:
|
1985 |
| Pages:
|
126-139 |
| Summary lang:
|
English |
| Summary lang:
|
Czech |
| Summary lang:
|
Russian |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
estimating parameters |
| Keyword:
|
testing hypotheses |
| Keyword:
|
Periodic autoregressive models |
| Keyword:
|
time-varying coefficients |
| Keyword:
|
Gaussian white noise |
| Keyword:
|
unknown mean |
| Keyword:
|
innovation |
| Keyword:
|
seasonal series |
| Keyword:
|
Gaussian maximum likelihood methods |
| MSC:
|
62F15 |
| MSC:
|
62M10 |
| MSC:
|
90A20 |
| idZBL:
|
Zbl 0585.62152 |
| idMR:
|
MR0778983 |
| DOI:
|
10.21136/AM.1985.104133 |
| . |
| Date available:
|
2008-05-20T18:27:00Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/104133 |
| . |
| Reference:
|
[1] J. Anděl: Statistical analysis of periodic autoregression.Apl. mat. 28 (1983), 364-365. MR 0712913 |
| Reference:
|
[2] 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:
|
[3] E. G. Gladyshev: Periodically correlated random sequences.Soviet Math. 2 (1961), 385-388. Zbl 0212.21401 |
| Reference:
|
[4] E. G. Gladyshev: Periodically and almost periodically correlated random process with continuous time parameter.Theory Prob. Appl. 8 (1963), 173-177. |
| Reference:
|
[5] M. Pagano: On periodic and multiple autoregression.Ann. Statist. 6 (1978), 1310-1317. MR 0523765, 10.1214/aos/1176344376 |
| Reference:
|
[6] A. Zellner: An introduction to Bayesian Inference in Econometrics.Wiley, New York, 1971. Zbl 0246.62098, MR 0433791 |
| . |
