Model-Building Problem of Periodically Correlatedm-Variate Moving Average Processes
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References listed on IDEAS
- Parzen, Emanuel & Pagano, Marcello, 1979. "An approach to modeling seasonally stationary time series," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 137-153, January.
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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.
- Aknouche, Abdelhakim & Bentarzi, Mohamed, 2008. "On the existence of higher-order moments of periodic GARCH models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3262-3268, December.
More about this item
Keywordsperiodically correlated moving average process; model-building problem; symbolic factorization; autocovariance operator; periodic matrix continued fraction;
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