On covariance generating functions and spectral densities of periodically correlated autoregressive processes

DOI10.1155/JAMSA/2006/94746zbMath1107.62099MaRDI QIDQ871351

A. R. Nematollahi, Ahmad Reza Soltani, Zohreh Shishebor

Publication date: 19 March 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53039

zbMATH Keywords

PCARP(p) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Periodically correlated autoregressive Hilbertian processes ⋮ Characterization of discrete scale invariant Markov sequences

Cites Work

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• Time series: theory and methods.
• ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
• Simple Random Measures and Simple Processes
• Periodically Correlated Processes and Their Stationary Dilations
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models

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