Two special models of A R ( n ) processes with time-dependent random parameters

Alena Koubková

Kybernetika (1995)

  • Volume: 31, Issue: 4, page 347-357
  • ISSN: 0023-5954

How to cite

top

Koubková, Alena. "Two special models of $AR(n)$ processes with time-dependent random parameters." Kybernetika 31.4 (1995): 347-357. <http://eudml.org/doc/27836>.

@article{Koubková1995,
author = {Koubková, Alena},
journal = {Kybernetika},
keywords = { series; random coefficient autoregressive series; time series; MA(1) random parameters; second-order stationarity; covariance functions; spectral density; best linear prediction},
language = {eng},
number = {4},
pages = {347-357},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Two special models of $AR(n)$ processes with time-dependent random parameters},
url = {http://eudml.org/doc/27836},
volume = {31},
year = {1995},
}

TY - JOUR
AU - Koubková, Alena
TI - Two special models of $AR(n)$ processes with time-dependent random parameters
JO - Kybernetika
PY - 1995
PB - Institute of Information Theory and Automation AS CR
VL - 31
IS - 4
SP - 347
EP - 357
LA - eng
KW - series; random coefficient autoregressive series; time series; MA(1) random parameters; second-order stationarity; covariance functions; spectral density; best linear prediction
UR - http://eudml.org/doc/27836
ER -

References

top
  1. J. Anděl, Statistische Analyse von Zeitreihen, Akademie Verlag, Berlin 1984. (1984) MR0762087
  2. J. Anděl, Autoregressive series with random parameters, Math. Operationsforsch. Statist. 7 (1976), 735-741. (1976) MR0428649
  3. A. Brandt, The stochastic equation Y n + 1 = A n Y n + B n with stationary coefficients, Adv. in Appl. Prob. 18 (1986), 211-220. (1986) MR0827336
  4. J. Conlisk, Stability in a random coefficient model, Internat. Econom. Rev. 15 (1974), 529-533. (1974) Zbl0283.60065MR0362801
  5. J. Conlisk, A further note on stability in a random coefficient model, Econom. Rev. 17 (1976), 759-764. (1976) Zbl0361.62092
  6. A. Koubková, First-order autoregressive processes with time-dependent random parameters, Kybernetika 18 (1982), 408-414. (1982) MR0686521
  7. A. Koubková, Časové řady s náhodnými parametry, PҺD Thesis, Praha 1986 (in Czech). (1986) 
  8. A. Koubková, Random coefficient AR(1) process, In: Trans. Tenth Prague Conf. on Inform. Theory, Stat. Dec. Functions and Random Proc, Academia, Prague 1988, pp. 51-58. (1988) MR1136308
  9. D. P. Nicholls, B. G. Quinn, Random coefficient autoregressive models: An introduction, Springer-Verlag, New Үork-Heidelberg-Berlin 1982. (1982) Zbl0497.62081MR0671255
  10. D. Tjøstheim, Some doubly stochastic time series models, J. Time Ser. Anal. 7(1986), 51-72. (1986) MR0832352
  11. A. A. Weiss, The stability of the AR(1) process with an AR(1) coefficients, J. Time Ser. Anal. 6 (1986), 181-186. (1986) MR0816248

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.