scientific article

zbMath0517.62092MaRDI QIDQ3666102

A. Koubková

Publication date: 1982

Full work available at URL: https://eudml.org/doc/29024

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zbMATH Keywords

covariance functionstationarityspectral densitybest linear predictionfirst-order autoregressive processestime-dependent random parameters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ordinary differential equations and systems with randomness (34F05) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (5)

Random autoregressive models: A structured overview ⋮ Unnamed Item ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ A test of correlation in the random coefficients of an autoregressive process ⋮ Unnamed Item

Cites Work

• Multiple autoregressive models with random coefficients
• Autoregressive series with random parameters

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