Multiple autoregressive models with random coefficients

D. F. Nicholls; B. G. Quinn

doi:10.1016/0047-259X(81)90108-1

Multiple autoregressive models with random coefficients

D. F. Nicholls^*, B. G. Quinn

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

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).

Original language	English
Pages (from-to)	185-198
Number of pages	14
Journal	Journal of Multivariate Analysis
Volume	11
Issue number	2
DOIs	https://doi.org/10.1016/0047-259X(81)90108-1
Publication status	Published - 1981
Externally published	Yes

Keywords

eigenvalues
eigenvectors
Multiple autoregression
random coefficient
stationarity
tensor product

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10.1016/0047-259X(81)90108-1

Cite this

@article{e62bc5ef5d194b2c98eca619773e952e,

title = "Multiple autoregressive models with random coefficients",

abstract = "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).",

keywords = "eigenvalues, eigenvectors, Multiple autoregression, random coefficient, stationarity, tensor product",

author = "Nicholls, \{D. F.\} and Quinn, \{B. G.\}",

year = "1981",

doi = "10.1016/0047-259X(81)90108-1",

language = "English",

volume = "11",

pages = "185--198",

journal = "Journal of Multivariate Analysis",

issn = "0047-259X",

publisher = "Academic Press Inc.",

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TY - JOUR

T1 - Multiple autoregressive models with random coefficients

AU - Nicholls, D. F.

AU - Quinn, B. G.

PY - 1981

Y1 - 1981

N2 - 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).

AB - 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).

KW - eigenvalues

KW - eigenvectors

KW - Multiple autoregression

KW - random coefficient

KW - stationarity

KW - tensor product

UR - https://www.scopus.com/pages/publications/49049150307

U2 - 10.1016/0047-259X(81)90108-1

DO - 10.1016/0047-259X(81)90108-1

M3 - Article

AN - SCOPUS:49049150307

SN - 0047-259X

VL - 11

SP - 185

EP - 198

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

IS - 2

ER -

Multiple autoregressive models with random coefficients

Abstract

Keywords

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