On periodic autoregressive processes estimation

DOI10.1109/78.845938MaRDI QIDQ2734342zbMATH OpenOpenAlexFDO

Authors Sophie Lambert-Lacroix

Publication date 9 June 2003

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.845938

zbMATH Keywords

autoregressive estimationperiodically correlated processessample partial autocorrelationstationary multivariate processes

Mathematics Subject Classification ID

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

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Cited in

(27)

• Parameter estimation in a stationary autoregressive process with correlated multiple observations
• Characterization of the partial autocorrelation function of nonstationary time series.
• Estimation of the mean of multivariate AR processes
• Estimation and identification of periodic autoregressive models with one exogenous variable
• On the theory of periodic multivariate INAR processes
• Integer-valued autoregressive processes with periodic structure
• Period estimation of process with autoregressive representation
• scientific article; zbMATH DE number 5904507 (Why is no real title available?)
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
• On a minimum distance estimate of the period in functional autoregressive processes
• An On-Line Estimation Algorithm for Periodic Autoregressive Models
• Large-sample properties of the periodogram estimator of seasonally persistent processes
• Periodic autoregression with exogenous variables and periodic variances
• Subsampling in testing autocovariance for periodically correlated time series
• Estimators in periodically observed autoregressive models.
• Robust Estimation For Periodic Autoregressive Time Series
• A Note on Calculating Autocovariances of PeriodicARMAModels
• On interpolation in periodic autoregressive processes
• On backward periodic autoregressive processes
• Periodically correlated autoregressive Hilbertian processes
• ESTIMATION OF THE PERIOD OF PERIODICALLY CORRELATED SEQUENCES
• scientific article; zbMATH DE number 2123868 (Why is no real title available?)
• Efficient estimation for periodic autoregressive coefficients via residuals
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• Parameter Estimation for Periodically Stationary Time Series
• Estimating weak periodic vector autoregressive time series
• Parameter estimation in Manneville-Pomeau processes

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