On AR(1) models with periodic and almost periodic coefficients. (Q1766030)

Let \((\xi _n)\) be a sequence of uncorrelated complex random variables with vanishing mean and unit variance. Further, let \((a_n)\) be a sequence of nonzero complex numbers. Define \[ X_n=a_nX_{n-1}+\xi _n. \tag \(*\) \] The authors present necessary and sufficient conditions under which the system \((*)\) has a bounded solution \((X_n)\). The results are specified to the cases when \((a_n)\) is a periodic sequence with period \(T\) or an almost periodic sequence. Under some general conditions it is proved that if \((X_n)\) is an (almost) periodic solution to system \((*)\), then \((a_n)\) is an (almost) periodic sequence. The spectrum of periodically correlated and of almost periodically correlated sequences \((X_n)\) is also discussed.