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On some probabilistic properties of double periodic AR models

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  • Aknouche, Abdelhakim
  • Guerbyenne, Hafida

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.

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  • Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "On some probabilistic properties of double periodic AR models," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 407-413, February.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:3:p:407-413
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