A characterization of random-coefficient AR(1) models

DOI10.1016/0304-4149(90)90062-WzbMath0691.62078WikidataQ127633916 ScholiaQ127633916MaRDI QIDQ582792

Klaus Pötzelberger

Publication date: 1990

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

zbMATH Keywords

integro-differential equationstransition probabilitiescharacterization of random-coefficient autoregressive processes of order 1

Mathematics Subject Classification ID

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

Related Items

A new non-linear \(AR(1)\) time series model having approximate beta marginals

Cites Work

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