THE ZERO‐CROSSING RATE OF AUTOREGRESSIVE PROCESSES AND ITS LINK TO UNIT ROOTS

Shuyuan He and Benjamin Kedem

Journal of Time Series Analysis, 1990, vol. 11, issue 3, 201-213

Abstract: Abstract. The asymptotic zero‐crossing rate (ZCR) of the general second‐order autoregressive process is investigated. When the associated characteristic polynomial has a unit root eiθ (0 ≤θ≤π), the ZCR converges in mean square to θ/π and the rate of convergence is very fast regardless of the noise level.

Date: 1990
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