Abstract
Mixed AR and hidden periodic model describes more time series than that of simple stationary AR or hidden periodic model and can be used in a variety of practical fields. The current statistical analysis methods for stationary AR model and hidden periodic model are used to get strong consistent parameter estimation for the mixed AR and hidden periodic model. The law of iterated logarithm convergence rate is given for the estimator of autoregressive coefficients, for that of hidden frequencies and for that of amplitudes of vibration.
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This research is supported by the National Natural Science Foundation of China.
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He, S. Estimation of the mixed AR and hidden periodic model. Acta Mathematicae Applicatae Sinica 13, 196–208 (1997). https://doi.org/10.1007/BF02015141
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DOI: https://doi.org/10.1007/BF02015141