Strict stationarity of generalized autoregressive processes

DOI10.1214/AOP/1176989526zbMath0763.60015OpenAlexW2078935796MaRDI QIDQ1203653

Nico Picard, Philippe Bougerol

Publication date: 22 February 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989526

zbMATH Keywords

state space representationARMA processeslogarithmic momentexistence of a strictly stationary solutionmultivariate stochastic difference equationstrictly stationary ergodic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic systems in control theory (general) (93E03)

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