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Paper
IPM / M / 8024 |
School of Mathematics
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Title: |
On PC solutions of PARMA (p, q) models
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Author(s): |
A. G. Miamee (Joint with S. Talebi)
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Status: |
Published
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Journal: |
Probab. Math. Statist.
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Vol.: |
25
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Year: |
2005
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Pages: |
279-288
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Supported by: |
IPM
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Abstract: |
This note is concerned with the existence of periodically
correlated solutions for the PARMA (p, q) system
xn=ϕ1nxn−1+ϕ2nxn−2+...
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+ϕpnxn−p+ξn+θ1nξn−1+...+θqnξn−q, n ∈ Z |
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where ξn is a white noise and the varying coefficients
ϕin and θin are periodic in n with
period T. Conditions which ensure the existence of periodically
correlated solutions for such systems are obtained.
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