THE STABILITY OF THE AR(1) PROCESS WITH AN AR(1) COEFFICIENT

Andrew A. Weiss

Journal of Time Series Analysis, 1985, vol. 6, issue 3, 181-186

Abstract: Abstract. In this paper we consider a simple time varying coefficient ARMA process:the AR (1) process with an AR (1) coefficient. A basic requirement of the process is that the output has finite variance, and we derive a condition on the parameters for this to be satisfied. The analysis is complicated by the interaction between the equations for the data and the varying coefficient.

Date: 1985
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