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

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)

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Cites work

• scientific article; zbMATH DE number 3889718 (Why is no real title available?)
• A Further Note on Stability in a Random Coefficient Model
• Analysis of Financial Time Series
• Analytic expressions for predictive distributions in mixture autoregressive models
• Autoregressive series with random parameters
• Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
• Existence of Finite Invariant Measures for Markov Processes
• Mixture periodic autoregressive time series models
• 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 logistic mixture autoregressive model
• On a mixture vector autoregressive model
• Random coefficient autoregressive models: an introduction
• Stability in a Random Coefficient Model
• Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
• The Stability of Random Coefficient Autoregressive Models

Cited in

(5)

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

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Uses Software

• FinTS

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