On AR(1) models with periodic and almost periodic coefficients

H. Hurd, A. Makagon and A. G. Miamee

Stochastic Processes and their Applications, vol. 100, issue 1-2, 167-185

Abstract: This paper is concerned with the existence of bounded solutions to the system of equations Xn=anXn-1+[xi]n, n[set membership, variant]Z, where [xi]n are uncorrelated constant variance zero mean random variables. We give necessary and sufficient conditions for boundedness in the general case and then specifically for periodic and almost periodic (an). This provides the first step in extending the periodic autoregressive models, for which boundedness is equivalent to the stationarity of the blocked vector sequence to the almost periodic case.

Keywords: Periodically; correlated; Autoregressive; Almost; periodic; Spectral; density (search for similar items in EconPapers)
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