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

Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of the covariance functions, what are called here the periodic covariance generating functions . We also provide close...

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Bibliographic Details
Published inJournal of applied mathematics and stochastic analysis Vol. 2006; pp. 1 - 17
Main Authors Shishebor, Z., Nematollahi, A. R., Soltani, A. R.
Format Journal Article
LanguageEnglish
Published John Wiley & Sons, Inc 2006
Subjects
Analysis
Analysis of covariance
Spectral energy distribution
Kuwait
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Summary:Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of the covariance functions, what are called here the periodic covariance generating functions . We also provide closed formulas for the spectral densities by using the periodic covariance generating functions, which is a new technique in the spectral theory of periodically correlated processes.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
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ISSN:1048-9533
1687-2177
DOI:10.1155/JAMSA/2006/94746