Autoregressive series with random parameters
- 1 January 1976
- journal article
- research article
- Published by Taylor & Francis in Mathematische Operationsforschung und Statistik
- Vol. 7 (5) , 735-741
- https://doi.org/10.1080/02331887608801334
Abstract
In the paper an authoregressive model is introduced and investigated, the parameters of which are random variables. The necessary and sufficient conditions for stationarity are derived. It is shown that the covariance function of a stationary autorgressive series with random parameters satisifies the same Yule-Walker equations as in the usual autoregressive model with fixed parameters. The inverse variance matrix in stationary case is also given.Keywords
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