On ARMA (1, q) models with bounded and periodically correlated solutions

• Autorzy: Weron A. , Wyłomańska A.
• Języki publikacji: EN

Abstrakty

EN

In this paper, motivated by [2], we derive necessary and sufficient conditions for bounded and periodically correlated solutions to the system of equations described by ARMA (1, q) model.

Słowa kluczowe

EN

periodically correlated; ARMA model; periodic coefficients

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2004
• Tom: Vol. 24, Fasc. 1
• Strony: 165--172
• Opis fizyczny: Bibliogr. 3 poz.

Twórcy

autor

Weron A.

• Hugo Steinhaus Center, Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

autor

Wyłomańska A.

• Hugo Steinhaus Center, Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

Bibliografia

• [1] J. D. Hamilton, Time Series Analysis, Princeton University Press, Princeton 1994.
• [2] H. Hurd, A. Makagon and A. G. Miamee, On AR (1) models with periodic and almost periodic coefficients, Stochastic Process. Appl. 100 (2002), pp. 167-185.
• [3] M. Pourahmadi, Foundations of Time Series Analysis and Prediction Theory, Wiley, New York 2001.