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

Author

Listed:
  • Aleksander Weron
  • Agnieszka Wylomanska

Abstract

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.

Suggested Citation

  • Aleksander Weron & Agnieszka Wylomanska, 2003. "On ARMA(1,q) models with bounded and periodically correlated solutions," HSC Research Reports HSC/03/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc0303
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_03.pdf
    File Function: Original version, 2003
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    More about this item

    Keywords

    Periodically correlated; ARMA model; Periodic coefficients;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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