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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.
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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Anděl, Jiří. Statistical analysis of periodic autoregression. Applications of Mathematics, Tome 28 (1983) no. 5, pp. 364-385. doi: 10.21136/AM.1983.104048

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