Author/Authors :
Saadatmand, A Department of Statistics - Shiraz University, Shiraz, Iran , Sadooghi-Alvandi, S. M Department of Statistics - Shiraz University, Shiraz, Iran , Nematollahi, A. R Department of Statistics - Shiraz University, Shiraz, Iran
Abstract :
We consider the structures of periodically correlated wide-sense Markov (PCWM) processes and their associated multi-dimensional stationary processes. The main result of the paper concerns the structure of multivariate PCWM processes, in terms of multivariate autoregressive and periodic autoregressive processes. But we also correct some results previously obtained for univariate PCWM processes.
Keywords :
Periodically correlated processes , Wide-sense Markov processes , Multivariate autoregressive processes , Stationary processes , Periodic autoregressive processes
