Multiple autoregressive models with random coefficients

DOI10.1016/0047-259X(81)90108-1zbMath0512.62084OpenAlexW1979910334MaRDI QIDQ1050058

D. F. Nicholls, Barry G. Quinn

Publication date: 1981

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(81)90108-1

zbMATH Keywords

eigenvalueseigenvectorsrandom coefficientstensor productconditions for stationaritymultiple autoregressive modelsnecessary and sufficient conditions for existence of stationary solution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II ⋮ Rank tests for testing the randomness of autoregressive coefficients ⋮ Random autoregressive models: A structured overview ⋮ Comments on the presence of serial correlation in the random coefficients of an autoregressive process ⋮ Unnamed Item ⋮ The estimation of multivariate random coefficient autoregressive models ⋮ Unnamed Item ⋮ A test of correlation in the random coefficients of an autoregressive process ⋮ Time series modeling on dynamic networks ⋮ On nonlinear models for time series ⋮ A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS ⋮ THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I

Cites Work

• Autoregressive series with random parameters
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• On the Multiple Autoregressive Series

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