A Multi-Companion Method to Periodically Integrated Autoregressive Models
周期单整自回归模型的多伴随矩阵方法
There has been an enormous interest in analysing and modelling periodic time series. The research on periodically integrated autoregressive (PIAR) models which capture the periodic structure and the presence of unit roots is widely applied in environmental, financial and energy areas. In this paper, we propose a multi-companion method which uses the eigen information of the multi-companion matrix in the multi-companion representation of PIAR models. The method enables the…