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Evaluation of the correlation of the drift coefficients of random nterdiffusion processes

✍ Scribed by R. T. Islamov; M. A. Lebedeva; A. Yu. Agapov; P. S. Novikov


Book ID
106355836
Publisher
Springer US
Year
2011
Tongue
English
Weight
197 KB
Volume
110
Category
Article
ISSN
1573-8205

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This work investigates the behavior of the sample variance of an explosive random coefficient autoregressive process y t = (a + u t )y t-1 + Ξ΅ t . It is shown that the simulated sample variance has a distribution when a 2 < 1 and a 2 +Οƒ 2 u = 1. Moreover, the variance of y t when a = -1 is found to