Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model

Details Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model

2008-11-12

arxiv.org/abs/0811.1846v1

Mathematics

Statistics Theory

Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics

Scientific paper

A statistical inference for random coefficient first-order autoregressive
model $[RCAR(1)]$ was investigated by P.M. ROBINSON (1978) in which the
coefficients varying over individuals. In this paper we attempt to generalize
this result to random coefficient autoregressive model of order $p$
$[RCAR(p)]$. The stationarity condition will derived for this model.

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