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

DOI10.1155/JAMSA/2006/94746MaRDI QIDQ871351zbMATHFDO

Authors A. R. Nematollahi, Z. Shishebor, A. R. Soltani

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)

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Cites work

• scientific article; zbMATH DE number 3864210 (Why is no real title available?)
• scientific article; zbMATH DE number 3675183 (Why is no real title available?)
• scientific article; zbMATH DE number 486483 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Discrete time periodically correlated Markov processes
• ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
• Periodically Correlated Processes and Their Stationary Dilations
• Simple Random Measures and Simple Processes
• Time series: theory and methods.

Cited in

(6)

• Characterization of discrete scale invariant Markov sequences
• ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• Periodically correlated autoregressive Hilbertian processes
• Convergence Rate of Empirical Autocovariance Operators in H-Valued Periodically Correlated Processes
• Discrete time periodically correlated Markov processes

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