IPM - Institute for Research in Fundamental Sciences

“School of Mathematics”

Back to Papers Home
Back to Papers of School of Mathematics

Paper IPM / M / 8024

School of Mathematics
Title:	On PC solutions of PARMA (p, q) models
Author(s):	A. G. Miamee (Joint with S. Talebi)
Status:	Published
Journal:	Probab. Math. Statist.
Vol.:	25
Year:	2005
Pages:	279-288
Supported by:	IPM

Abstract:

This note is concerned with the existence of periodically correlated solutions for the PARMA (p, q) system

x_n=ϕ¹_nx_n−1+ϕ²_nx_n−2+...

+ϕ^p_nx_n−p+ξ_n+θ¹_nξ_n−1+...+θ^q_nξ_n−q, n ∈ Z

where ξ_n is a white noise and the varying coefficients ϕⁱ_n and θⁱ_n are periodic in n with period T. Conditions which ensure the existence of periodically correlated solutions for such systems are obtained.

Download TeX format

“School of Mathematics”

People

Schools

Centers

Groups

E-Services

Publications