Some Results in Periodic Autoregression

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Abstract
Several properties of a periodic autoregressive process {xs} are examined by considering a related stationary multivariate autoregressive process. The properties of interest include: the representation of xs as an infinite linear combination of independent, periodically distributed random variables, constraints on the parameters which permit such a representation, the covariance and spectral properties of {xs}, and the asymptotic behaviour of cumulative sums of {xs} and of functions of these sums.

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