This paper derives conditions for the stationarity of a class of multiple autoregressive models with random coefficients. The models considered include as special cases those previously discussed by Andel (Ann. Math. Statist.42 (1971), 755-759; Math. Operationsforsch. Statist.7 (1976), 735-741).
|Number of pages||14|
|Journal||Journal of Multivariate Analysis|
|Publication status||Published - 1981|
- Multiple autoregression
- random coefficient
- tensor product