A characterization of random-coefficient AR(1) models

DOI10.1016/0304-4149(90)90062-WMaRDI QIDQ582792zbMATH OpenWikidataFDO

Authors Klaus Pötzelberger

Publication date 1990

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(90)90062-W

zbMATH Keywords

characterization of random-coefficient autoregressive processes of order 1integro-differential equationstransition probabilities

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

A random coefficient (RC) AR(1) process \(X_ t\) is defined by \(X_ t=\Lambda_ tX_{t-1}+\epsilon_ t\) where the i.i.d. random variables \((\Lambda_ t,\epsilon_ t)\) are independent of \((X_{t-i})_{i\geq 1}\). The transition probability T(.)(x) is given by \[ E(f(X_{t- 1})| X_{t-1}=x)=T(f)(x). \] The author gives a characterization of RCAR(1) processes based on the transition probabilities and shows that the transition probabilities can be used to find a solution of the equation \[ (\partial g/\partial t)(t,x)=-g(t,x)+\int g(t,\lambda x+u)d\eta (u),\quad g(0,x)=f(x). \]

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Cites work

• A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
• A new autoregressive time series model in exponential variables (NEAR(1))
• A new Laplace second-order autoregressive time-series model--NLAR(2)
• An Autoregressive Process for Beta Random Variables
• Completely positive operators and processes of Ornstein-Uhlenbeck type
• First-order autoregressive gamma sequences and point processes
• Higher-Order Residual Analysis for Nonlinear Time Series with Autoregressive Correlation Structures
• scientific article; zbMATH DE number 3928144 (Why is no real title available?)
• scientific article; zbMATH DE number 3219899 (Why is no real title available?)
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• The Stability of Random Coefficient Autoregressive Models

Cited in

(4)

• A new non-linear AR(1) time series model having approximate beta marginals
• scientific article; zbMATH DE number 3915473 (Why is no real title available?)
• scientific article; zbMATH DE number 1241068 (Why is no real title available?)
• scientific article; zbMATH DE number 2190880 (Why is no real title available?)

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