A characterization of random-coefficient AR(1) models

We give a characterization of random-coefficient autoregressive processes of order 1, using analytical properties of the transition probabilities. As an example we show that these transition probabilities can be used to find solutions of certain integro-differential equations.

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Year of publication:	1990
Authors:	Pötzelberger, Klaus
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 34.1990, 1, p. 171-180
Publisher:	Elsevier
Subject:	random-coefficient AR(1) processes transition probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875524