Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes

DOI10.1111/j.1467-9892.2004.00409.xzbMath1091.62078OpenAlexW3125669566MaRDI QIDQ5467611

Sophie Lambert-Lacroix

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00409.x

zbMATH Keywords

periodic autoregressionmaximum entropy extensionpartial autocovariation

Mathematics Subject Classification ID

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

Related Items

Maximum entropy models for general lag patterns ⋮ A periodic Levinson-Durbin algorithm for entropy maximization ⋮ Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients ⋮ A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation

Cites Work

• Unnamed Item
• Characterization of the partial autocorrelation function of nonstationary time series.
• Schur parameters, factorization and dilation problems
• An Extension Problem For Discrete‐Time Periodically Correlated Stochastic Processes
• On periodic autoregressive processes estimation
• A necessary and sufficient condition for the existence of the maximum likelihood estimate in autoregressive models
• Maximum entropy modeling of periodically correlated processes

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