Geodesic
Periodic autoregression with exogenous variables and periodic variances
Applications of Mathematics, Tome 34 (1989) no. 5, pp. 387-395.

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The periodic autoregressive process with non-vanishing mean and with exogenous variables is investigated in the paper. It is assumed that the model has also periodic variances. The statistical analysis is based on the Bayes approach with a vague prior density. Estimators of the parameters and asymptotic tests of hypotheses are derived.
DOI : 10.21136/AM.1989.104366
Classification : 62F15, 62M10
Keywords: parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests; Bayes approach; testing hypotheses 
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     author = {And\v{e}l, Ji\v{r}{\'\i}},
     title = {Periodic autoregression with exogenous variables and periodic variances},
     journal = {Applications of Mathematics},
     pages = {387--395},
     publisher = {mathdoc},
     volume = {34},
     number = {5},
     year = {1989},
     doi = {10.21136/AM.1989.104366},
     mrnumber = {1014079},
     zbl = {0697.62084},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104366/}
}
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Anděl, Jiří. Periodic autoregression with exogenous variables and periodic variances. Applications of Mathematics, Tome 34 (1989) no. 5, pp. 387-395. doi : 10.21136/AM.1989.104366. http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104366/

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