Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model

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Bouchemella, A.
Bibi, A.
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Abstract
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A statistical inference for random coefficient first-order autoregressive model $[RCAR(1)]$ was investigated by P.M. ROBINSON (1978) in which the coefficients varying over individuals. In this paper we attempt to generalize this result to random coefficient autoregressive model of order $p$ $[RCAR(p)]$. The stationarity condition will derived for this model.
Comment: Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)
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Mathematics - Statistics Theory
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