Geodesic
Periodic autoregression with exogenous variables and periodic variances
Applications of Mathematics, Tome 34 (1989) no. 5, pp. 387-395
Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

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.
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 
@article{10_21136_AM_1989_104366,
     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},
     year = {1989},
     volume = {34},
     number = {5},
     doi = {10.21136/AM.1989.104366},
     mrnumber = {1014079},
     zbl = {0697.62084},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104366/}
}
TY  - JOUR
AU  - Anděl, Jiří
TI  - Periodic autoregression with exogenous variables and periodic variances
JO  - Applications of Mathematics
PY  - 1989
SP  - 387
EP  - 395
VL  - 34
IS  - 5
UR  - http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104366/
DO  - 10.21136/AM.1989.104366
LA  - en
ID  - 10_21136_AM_1989_104366
ER  - 
%0 Journal Article
%A Anděl, Jiří
%T Periodic autoregression with exogenous variables and periodic variances
%J Applications of Mathematics
%D 1989
%P 387-395
%V 34
%N 5
%U http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104366/
%R 10.21136/AM.1989.104366
%G en
%F 10_21136_AM_1989_104366
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

[1] J. Anděl: Statistical analysis of periodic autoregression. Apl. mat. 28 (1983), 364-385. | MR

[2] J. Anděl: Periodic autoregression with exogenous variables and equal variances. Proc. 5th Pannonian Symp., 237-245. Akadémiai Kiadó, Budapest 1987. (Eds.: Grossmann, Mogyoródi, Vincze, Wertz.) | MR

[3] J. Anděl A. Rubio A. Insua: On periodic autoregression with unknown mean. Apl. mat. 30 (1985), 126-139. | MR

[4] H. J. Newton: Using periodic autoregression for multiple spectral estimation. Technometrics 24 (1982), 109-116. | DOI | MR

[5] M. Pagano: On periodic and multiple autoregression. Ann. Statist. 6 (1978), 1310-1317. | DOI | MR

Cité par Sources :