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Notes regarding the local properties of the sample functions of random processes

✍ Scribed by Yu. G. Balasanov; I. G. Zhurbenko


Publisher
SP MAIK Nauka/Interperiodica
Year
1985
Tongue
English
Weight
220 KB
Volume
37
Category
Article
ISSN
0001-4346

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πŸ“œ SIMILAR VOLUMES


On the sample variance of explosive rand
✍ 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