Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155080 | Statistics & Probability Letters | 2009 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Abdelhakim Aknouche, Hafida Guerbyenne,