Multiple autoregressive models with random coefficients

D. F. Nicholls and B. G. Quinn

Journal of Multivariate Analysis, 1981, vol. 11, issue 2, 185-198

Abstract: This paper derives conditions for the stationarity of a class of multiple autoregressive models with random coefficients. The models considered include as special cases those previously discussed by Andel (Ann. Math. Statist.42 (1971), 755-759; Math. Operationsforsch. Statist.7 (1976), 735-741).

Keywords: Multiple; autoregression; random; coefficient; stationarity; eigenvalues; eigenvectors; tensor; product (search for similar items in EconPapers)
Date: 1981
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Citations: View citations in EconPapers (4)

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