Periodic autoregression with exogenous variables and periodic variances

DOI10.21136/AM.1989.104366zbMath0697.62084OpenAlexW2668926034MaRDI QIDQ3474000

Jiří Anděl

Publication date: 1989

Full work available at URL: https://eudml.org/doc/15592

zbMATH Keywords

parameter estimationasymptotic testsexogenous variablesperiodic autoregressive processvague prior densitynon-vanishing meanperiodic variances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (1)

Estimation and identification of periodic autoregressive models with one exogenous variable

Cites Work

• On periodic and multiple autoregressions
• Statistical analysis of periodic autoregression
• Using Periodic Autoregressions for Multiple Spectral Estimation
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