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

[摘要] Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of thecovariance functions, what are called herethe periodiccovariance generating functions. We also provide closed formulasfor the spectral densities by using the periodic covariancegenerating functions, which is a new technique in the spectraltheory of periodically correlated processes.

[学科分类] 应用数学