The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
多维无限方差一阶周期自回归模型的修正 Yule–Walker 方法
The time series with periodic behavior, such as the periodic autoregressive (PAR) models belonging to the class of the periodically correlated processes, are present in various real applications. In the literature, such processes were considered in different directions, especially with the Gaussian-distributed noise. However, in most of the applications, the assumption of the finite-variance distribution seems to be too simplified. Thus, one can consider the extensions of…