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Spectral measures of PARMA sequences

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Abstract. 

The aim of this article is to give a complete description of the spectral measure of periodic autoregressive moving-average (PARMA) system in terms of its coefficients. In the analysis we use the spectral theory of strongly harmonizable sequences presented in Hurd [Journal of Multivariate Analysis (1989) Vol. 29, pp. 53–67] and the form of the unique bounded solution of ARMA model with periodic coefficients. As an application of the theoretical results, we present some examples of the spectral measures for PARMA models.
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Keywords: PARMA models; periodically correlated process; spectral measure; strongly harmonizable sequence

Document Type: Research Article

Affiliations: Wrocław University of Technology

Publication date: 2008-01-01

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