𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Multivariate modelling of the autoregressive random variance process

✍ Scribed by Mike K. P. So; W. K. Li; K. Lam

Book ID
108549297
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
416 KB
Volume
18
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

On the sample variance of explosive rand
On the sample variance of explosive random coefficient autoregressive processes
✍ Terence Tai-Leung Chong; Wai-Kit Leung πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 220 KB

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

ANALYSIS OF A MULTIVARIATE AUTOREGRESSIV
ANALYSIS OF A MULTIVARIATE AUTOREGRESSIVE PROCESS
✍ J. Lardies πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 273 KB

This paper deals with the estimation of the order, the parameters, and the spectrum of a process modeled by a multivariate autoregressive time series. When large samples are available, the order of a noisy multivariate autoregressive process is determined (independently of the probability law govern