A characterization of random-coefficient AR(1) models

Klaus Pötzelberger

Stochastic Processes and their Applications, 1990, vol. 34, issue 1, 171-180

Abstract: We give a characterization of random-coefficient autoregressive processes of order 1, using analytical properties of the transition probabilities. As an example we show that these transition probabilities can be used to find solutions of certain integro-differential equations.

Keywords: random-coefficient; AR(1); processes; transition; probability (search for similar items in EconPapers)
Date: 1990
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