Periodically correlated solutions to a class of stochastic difference equations
The class of periodically correlated processes is found useful as a framework for the description and modelling of time series that exhibit pseudo-periodic behaviour. The stochastic difference equation used to define the periodic autoregression model is examined. Using a nonstationary Markovian representation of the model, conditions for the existence, uniqueness and causality of the periodically correlated solutions to the stochastic difference equation are determined and properties of the corresponding autocovariance function are investigated. For the entire collection see [Zbl 0870.00040].
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