On covariance generating functions and spectral densities of periodically correlated autoregressive processes
نویسندگان
چکیده
منابع مشابه
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 closed formulas for the spectral densities by using the periodic covariance generating functions, which...
متن کاملOn the existence of Hilbert valued periodically correlated autoregressive processes
In this paper we provide sufficient condition for existence of a unique Hilbert valued ($mathbb{H}$-valued) periodically correlated solution to the first order autoregressive model $X_{n}=rho _{n}X_{n-1}+Z_{n}$, for $nin mathbb{Z}$, and formulate the existing solution and its autocovariance operator. Also we specially investigate equivalent condition for the coordinate process...
متن کاملSHIFT OPERATOR FOR PERIODICALLY CORRELATED PROCESSES
The existence of shift for periodically correlated processes and its boundedness are investigated. Spectral criteria for these non-stationary processes to have such shifts are obtained.
متن کاملshift operator for periodically correlated processes
the existence of shift for periodically correlated processes and its boundedness are investigated. spectral criteria for these non-stationary processes to have such shifts are obtained.
متن کاملSpectral Theory for Periodically and Almost Periodically Correlated Random Processes: A Survey
This paper contains a survey of the spectral theory of periodically correlated and almost periodically correlated stochastic processes. These processes are also called cyclostationary and almost cyclostationary, and we give give some remarks concerning the historical development of the two nomenclatures. In this paper we survey the spectral theory of the covariance, the estimation of the Fourie...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 2006
ISSN: 1048-9533,1687-2177
DOI: 10.1155/jamsa/2006/94746