| Title:
|
Periodic autoregression with exogenous variables and periodic variances (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
34 |
| Issue:
|
5 |
| Year:
|
1989 |
| Pages:
|
387-395 |
| Summary lang:
|
English |
| Summary lang:
|
Russian |
| Summary lang:
|
Czech |
| . |
| Category:
|
math |
| . |
| 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. (English) |
| Keyword:
|
parameter estimation |
| Keyword:
|
periodic autoregressive process |
| Keyword:
|
non-vanishing mean |
| Keyword:
|
exogenous variables |
| Keyword:
|
periodic variances |
| Keyword:
|
vague prior density |
| Keyword:
|
asymptotic tests |
| Keyword:
|
Bayes approach |
| Keyword:
|
testing hypotheses |
| MSC:
|
62F15 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0697.62084 |
| idMR:
|
MR1014079 |
| DOI:
|
10.21136/AM.1989.104366 |
| . |
| Date available:
|
2008-05-20T18:37:27Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/104366 |
| . |
| Reference:
|
[1] J. Anděl: Statistical analysis of periodic autoregression.Apl. mat. 28 (1983), 364-385. MR 0712913 |
| Reference:
|
[2] J. Anděl: Periodic autoregression with exogenous variables and equal variances.Proc. 5th Pannonian Symp., 237-245. Akadémiai Kiadó, Budapest 1987. (Eds.: Grossmann, Mogyoródi, Vincze, Wertz.) MR 0956701 |
| Reference:
|
[3] J. Anděl A. Rubio A. Insua: On periodic autoregression with unknown mean.Apl. mat. 30 (1985), 126-139. MR 0778983 |
| Reference:
|
[4] H. J. Newton: Using periodic autoregression for multiple spectral estimation.Technometrics 24 (1982), 109-116. MR 0655574, 10.1080/00401706.1982.10487731 |
| Reference:
|
[5] M. Pagano: On periodic and multiple autoregression.Ann. Statist. 6 (1978), 1310-1317. MR 0523765, 10.1214/aos/1176344376 |
| . |
