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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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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Abstract 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.
AbstractList 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.
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.
Audience Academic
Author Shishebor, Z.
Nematollahi, A. R.
Soltani, A. R.
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crossref_primary_10_1080_03610926_2014_942427
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10.1137/0150072
10.1007/BFb0099797
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References (1) 1991
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  volume-title: On the prediction of periodically correlated stochastic processes
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  volume-title: On subordination and linear transformation of harmonizable and periodically correlated processes
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SubjectTerms Analysis
Analysis of covariance
Spectral energy distribution
Title On covariance generating functions and spectral densities of periodically correlated autoregressive processes
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