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

Z. Shishebor, A. R. Nematollahi and A. R. Soltani

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-17

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.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:094746

DOI: 10.1155/JAMSA/2006/94746

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