Random coefficient first-order autoregressive models
β Scribed by Lon-Mu Liu; George C. Tiao
- Publisher
- Elsevier Science
- Year
- 1980
- Tongue
- English
- Weight
- 979 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0304-4076
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π SIMILAR VOLUMES
Phillips and Magdalinos (2007) [1] gave the asymptotic theory for autoregressive time series with a root of the form Ο n = 1 + c/k n , where k n is a deterministic sequence. In this paper, an extension to the more general case where the coefficients of an AR(1) model is a random variable and the
We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be s