Multiple autoregressive models with random coefficients

This paper derives conditions for the stationarity of a class of multiple autoregressive models with random coefficients. The models considered include as special cases those previously discussed by Andel (Ann. Math. Statist.42 (1971), 755-759; Math. Operationsforsch. Statist.7 (1976), 735-741).

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Year of publication:	1981
Authors:	Nicholls, D. F. ; Quinn, B. G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 11.1981, 2, p. 185-198
Publisher:	Elsevier
Keywords:	Multiple autoregression random coefficient stationarity eigenvalues eigenvectors tensor product

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

Persistent link: https://www.econbiz.de/10005221669