Abstract
One special model of AR(1) series with time-dependent random coefficients is investigated. Conditions for stationarity and explicit forms of its covariance function and spectral density are derived.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Anděl J. (1976): Autoregressive series with random parameters. Math. Operationsforsch. Statist. 7,735 – 761.
Koubková A. (1982): First-order autoregressive processes with time-dependent random parameters. Kybernetika 18, 408 – 414.
Nicholls D.E. and Quinn B.G. (1982): Random coefficient autoregressive models. An introduction. Lecture Notes in Statistics 11, Springer, New York — Berlin.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 1988 Academia, Publishing House of the Czechoslovak Academy of Sciences, Prague
About this chapter
Cite this chapter
Koubková, A. (1988). Random Coefficient AR(1) Process. In: Transactions of the Tenth Prague Conference on Information Theory, Statistical Decision Functions, Random Processes. Transactions of the Tenth Prague Conference on Information Theory, Statistical Decision Functions, Random Processes, vol 10A-B. Springer, Dordrecht. https://doi.org/10.1007/978-94-010-9913-4_6
Download citation
DOI: https://doi.org/10.1007/978-94-010-9913-4_6
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-9915-8
Online ISBN: 978-94-010-9913-4
eBook Packages: Springer Book Archive