On Backward Periodic AR Processes

On periodic bilinear processes

RÉSUMÉ. ABSTRACT. This paper analyses the probabilistic structure of a subclass of periodic bilinear time series. The proposed class of stochastic processes, of which the linear model is a special case, is based on a generalized autoregressive representation. Under general and tractable assumptions, we examine the periodic stationarity, the existence of higher order moments and the geometric er...

On periodic autoregressive processes estimation

We consider the autoregressive estimation for periodically correlated processes, using the parameterization given by the partial autocorrelation function. We propose an estimation of these parameters by extending the sample partial autocorrelation method to this situation. The comparison with other methods is made. Relationships with the stationary multivariate case are discussed.

On Double Periodic Non–Homogeneous Poisson Processes

Non-homogenous Poisson processes with periodic claim intensity rate are proposed as the claim counting process of risk theory. We introduce a doubly periodic Poisson model with short and long term trends, illustrated by a double-beta intensity function. Here periodicity does not repeat the exact same short term pattern every year, but lets its peak intensity vary over a longer period. This mode...

Almost Periodic Harmonizable Processes

The class of harmonizable processes is a natural extension of the class of stationary processes. This paper provides sufficient conditions for the sample paths of harmonizable processes to be almost periodic uniformly, Stepanov and Besicovitch.

Dissipative Periodic Processes 1083