Geodesic
Two special models of $AR(n)$ processes with time-dependent random parameters
Kybernetika, Tome 31 (1995) no. 4, pp. 347-357 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Classification : 60G10, 62M10, 62M15, 62M20 
@article{KYB_1995_31_4_a3,
     author = {Koubkov\'a, Alena},
     title = {Two special models of $AR(n)$ processes with time-dependent random parameters},
     journal = {Kybernetika},
     pages = {347--357},
     year = {1995},
     volume = {31},
     number = {4},
     mrnumber = {1357349},
     zbl = {0857.62088},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1995_31_4_a3/}
}
TY  - JOUR
AU  - Koubková, Alena
TI  - Two special models of $AR(n)$ processes with time-dependent random parameters
JO  - Kybernetika
PY  - 1995
SP  - 347
EP  - 357
VL  - 31
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/KYB_1995_31_4_a3/
LA  - en
ID  - KYB_1995_31_4_a3
ER  - 
%0 Journal Article
%A Koubková, Alena
%T Two special models of $AR(n)$ processes with time-dependent random parameters
%J Kybernetika
%D 1995
%P 347-357
%V 31
%N 4
%U http://geodesic.mathdoc.fr/item/KYB_1995_31_4_a3/
%G en
%F KYB_1995_31_4_a3
Koubková, Alena. Two special models of $AR(n)$ processes with time-dependent random parameters. Kybernetika, Tome 31 (1995) no. 4, pp. 347-357. http://geodesic.mathdoc.fr/item/KYB_1995_31_4_a3/

[1] J. Anděl: Statistische Analyse von Zeitreihen. Akademie Verlag, Berlin 1984. | MR

[2] J. Anděl: Autoregressive series with random parameters. Math. Operationsforsch. Statist. 7 (1976), 735-741. | MR

[3] A. Brandt: The stochastic equation $Y_n + 1 = A_nY_n + B_n$ with stationary coefficients. Adv. in Appl. Prob. 18 (1986), 211-220. | MR

[4] J. Conlisk: Stability in a random coefficient model. Internat. Econom. Rev. 15 (1974), 529-533. | MR | Zbl

[5] J. Conlisk: A further note on stability in a random coefficient model. Econom. Rev. 17 (1976), 759-764. | Zbl

[6] A. Koubková: First-order autoregressive processes with time-dependent random parameters. Kybernetika 18 (1982), 408-414. | MR

[7] A. Koubková: Časové řady s náhodnými parametry. PҺD Thesis, Praha 1986 (in Czech).

[8] A. Koubková: Random coefficient AR(1) process. In: Trans. Tenth Prague Conf. on Inform. Theory, Stat. Dec. Functions and Random Proc, Academia, Prague 1988, pp. 51-58. | MR

[9] D. P. Nicholls, B. G. Quinn: Random coefficient autoregressive models: An introduction. Springer-Verlag, New Үork-Heidelberg-Berlin 1982. | MR | Zbl

[10] D. Tjøstheim: Some doubly stochastic time series models. J. Time Ser. Anal. 7(1986), 51-72. | MR

[11] A. A. Weiss: The stability of the AR(1) process with an AR(1) coefficients. J. Time Ser. Anal. 6 (1986), 181-186. | MR