On first and second order stationarity of random coefficient models

DOI10.1016/J.LAA.2010.09.023zbMATH Open1206.62145OpenAlexW2105380261MaRDI QIDQ616276FDOQ616276

Authors: Georgi N. Boshnakov 

Publication date: 7 January 2011

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2010.09.023

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zbMATH Keywords

extended Stein equationmixture AR modelsmixture PAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (algebraic aspects) (15B52)

Cites Work

• Analysis of Financial Time Series
• On a logistic mixture autoregressive model
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model
• Analytic expressions for predictive distributions in mixture autoregressive models
• Title not available (Why is that?)
• Random coefficient autoregressive models: an introduction
• Autoregressive series with random parameters
• Stability in a Random Coefficient Model
• The Stability of Random Coefficient Autoregressive Models
• Mixture periodic autoregressive time series models
• Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
• A Further Note on Stability in a Random Coefficient Model
• Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
• Existence of Finite Invariant Measures for Markov Processes

Cited In (5)

• On the Autoregressive Model with Random Coefficients
• STATIONARITY CONDITION FOR AR INDEX PROCESS
• Statistical analysis of mixture vector autoregressive models
• Bayesian analysis of mixture autoregressive models covering the complete parameter space
• On the geometric ergodicity of the mixture autoregressive model

Uses Software

• FinTS

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