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Title: On multiple periodic autoregression (English)
Author: Anděl, Jiří
Language: English
Journal: Aplikace matematiky
ISSN: 0373-6725
Volume: 32
Issue: 1
Year: 1987
Pages: 63-80
Summary lang: English
Summary lang: Russian
Summary lang: Czech
Category: math
Summary: 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. (English)
Keyword: estimating autoregressive matrices
Keyword: matrixvariate$t$-distribution
Keyword: multivariate processes
Keyword: periodic autoregression
Keyword: test of periodicity
Keyword: test of fit
Keyword: vector autoregression
Keyword: asymptotic posterior chi-square distribution
Keyword: confidence regions
Keyword: Bayes approach
MSC: 62F15
MSC: 62M07
MSC: 62M09
MSC: 62M10
idZBL: Zbl 0634.62086
idMR: MR0879331
DOI: 10.21136/AM.1987.104237
Date available: 2008-05-20T18:31:42Z
Last updated: 2020-07-28
Stable URL:
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