Some Simple Remarks on an Autoregressive Scheme and an Implied Problem

Murray Rosenblatt
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Murray Rosenblatt: University of California

Journal of Theoretical Probability, 1997, vol. 10, issue 2, 295-305

Abstract: Abstract Nonminimum phase autoregressive schemes are considered in the context of the problem of determining a stationary process that satisfies a possibly nonlinear autoregressive system of equations. It's noted that in most solutions there is an implicit assumption that the independent random variables generating the process are independent of the past of the process. This is not true of the non-minimum phase schemes. A simple scheme that has a characteristic polynomial with roots inside and outside the unit disc in the complex plane is discussed.

Keywords: Stationary processes; autoregressive system; Markov process (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1022604315045

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