Characterization of the partial autocorrelation function of nonstationary time series
Journal of Multivariate Analysis
Bibliography on cyclostationarity
Signal Processing
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We consider the autoregressive estimation for periodically correlated processes, using the parametrization given by the partial autocorrelation function. We propose an estimation of these parameters by extending the sample partial autocorrelation method to this situation. A comparison with other methods is made. Relationships with the stationary multivariate case are discussed