Geodesic
Statistical analysis of periodic autoregression
Applications of Mathematics, Tome 28 (1983) no. 5, pp. 364-385.

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Methods for estimating parameters and testing hypotheses in a periodic autoregression are investigated in the paper. The parameters of the model are supposed to be random variables with a vague prior density. The innovation process can have either constant or periodically changing variances. Theoretical results are demonstrated on two simulated series and on two sets of real data.
DOI : 10.21136/AM.1983.104048
Classification : 62F15, 62M10
Keywords: periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data 
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     author = {And\v{e}l, Ji\v{r}{\'\i}},
     title = {Statistical analysis of periodic autoregression},
     journal = {Applications of Mathematics},
     pages = {364--385},
     publisher = {mathdoc},
     volume = {28},
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     zbl = {0537.62073},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.1983.104048/}
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Anděl, Jiří. Statistical analysis of periodic autoregression. Applications of Mathematics, Tome 28 (1983) no. 5, pp. 364-385. doi : 10.21136/AM.1983.104048. http://geodesic.mathdoc.fr/articles/10.21136/AM.1983.104048/

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