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On covariance generating functions and spectral densities of periodically correlated autoregressive processes

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  • Z. Shishebor
  • A. R. Nematollahi
  • A. R. Soltani

Abstract

Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of the covariance functions, what are called here the periodic covariance generating functions . We also provide closed formulas for the spectral densities by using the periodic covariance generating functions, which is a new technique in the spectral theory of periodically correlated processes.

Suggested Citation

  • Z. Shishebor & A. R. Nematollahi & A. R. Soltani, 2006. "On covariance generating functions and spectral densities of periodically correlated autoregressive processes," International Journal of Stochastic Analysis, Hindawi, vol. 2006, pages 1-17, May.
    • Handle: RePEc:hin:jnijsa:094746
    DOI: 10.1155/JAMSA/2006/94746
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