کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155080 958438 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On some probabilistic properties of double periodic AR models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On some probabilistic properties of double periodic AR models
چکیده انگلیسی
This paper deals with some probabilistic properties of the class of periodic autoregressions (PAR) with periodic ARCH innovations (PAR-PARCH). Under some suitable assumptions an equivalent random coefficient periodic autoregression formulation of the periodic ARCH equation is proposed, leading to a double periodic autoregression (DPAR) formulation for the model. Periodic stationarity and existence of higher-order moment properties of such a DPAR model are studied and from which we deduce those of the PAR-PARCH process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 79, Issue 3, 1 February 2009, Pages 407-413
نویسندگان
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