Existence of moments in a stationary stochastic difference equation
- 1 March 1990
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 22 (1) , 129-146
- https://doi.org/10.2307/1427601
Abstract
The stationary stochastic difference equationXt=YtXt–1+Wtis analyzed with emphasis on conditions ensuring that ||Xt||p<∞. Some general results are obtained and then applied to different classes of input processes {(Yt, Wt)}. Especially both necessary and sufficient conditions are given in the Gaussian case. We also obtain results concerning moments of products of dependent variables.Keywords
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