On covariance generating functions and spectral densities of periodically correlated autoregressive processes (Q871351)
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scientific article
| Language | Label | Description | Also known as |
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| English | On covariance generating functions and spectral densities of periodically correlated autoregressive processes |
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On covariance generating functions and spectral densities of periodically correlated autoregressive processes (English)
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19 March 2007
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Summary: Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of the covariance functions, what are called here the periodic covariance generating functions. We also provide closed formulas for the spectral densities by using the periodic covariance generating functions, which is a new technique in the spectral theory of periodically correlated processes.
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PCARP(p) processes
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