Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 94746, 17 pages
doi:10.1155/JAMSA/2006/94746
Abstract
Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of the
covariance functions, what are called here the periodic
covariance generating functions. We also provide closed formulas
for the spectral densities by using the periodic covariance
generating functions, which is a new technique in the spectral
theory of periodically correlated processes.