Multiple autoregressive models with random coefficients

DOI10.1016/0047-259X(81)90108-1MaRDI QIDQ1050058zbMATH OpenOpenAlexFDO

Authors D. F. Nicholls, Barry Quinn

Publication date 1981

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(81)90108-1

zbMATH Keywords

conditions for stationarityeigenvalueseigenvectorsmultiple autoregressive modelsnecessary and sufficient conditions for existence of stationary solutionrandom coefficientstensor product

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Autoregressive series with random parameters
• On the Multiple Autoregressive Series
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products

Cited in

(13)

• The estimation of multivariate random coefficient autoregressive models
• Rank tests for testing the randomness of autoregressive coefficients
• A test of correlation in the random coefficients of an autoregressive process
• Time series modeling on dynamic networks
• Comments on the presence of serial correlation in the random coefficients of an autoregressive process
• scientific article; zbMATH DE number 4205504 (Why is no real title available?)
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• scientific article; zbMATH DE number 3818925 (Why is no real title available?)
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• On nonlinear models for time series
• Random autoregressive models: a structured overview
• A stochastic tree for bubble asset modelling and pricing

This page was built for publication: Multiple autoregressive models with random coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1050058)