Periodically Correlated Solutions to a Class of Stochastic Difference Equations

Abstract

The class of the periodically correlated processes sets up one of the possible frameworks for description and modeling of time series having pseudo-periodic behaviour. The mean and the autocovariance functions of the processes from this class are periodic. Many of the concepts of the stationary theory admit generalization to the periodic case. There is a duality between the multivariate stationary processes and the periodically correlated processes which makes the investigation of these two classes theoretically equivalent. A survey on these questions (mainly from an algorithmic point of view) and a lot of references may be found in Boshnakov [Bo].