A class of autoregressive processes

A new class of first-order autoregressive minification process which generalizes any autoregressive process of first order, is introduced. A necessary and sufficient condition for this process to be stationary is given. Some properties of the process are studied. Second-order extension of the process is also discussed.

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Year of publication:	2008
Authors:	Krishnarani, S.D. ; Jayakumar, K.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 12, p. 1355-1361
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005211817