| Title:
|
Two special models of $AR(n)$ processes with time-dependent random parameters (English) |
| Author:
|
Koubková, Alena |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
31 |
| Issue:
|
4 |
| Year:
|
1995 |
| Pages:
|
347-357 |
| . |
| Category:
|
math |
| . |
| MSC:
|
60G10 |
| MSC:
|
62M10 |
| MSC:
|
62M15 |
| MSC:
|
62M20 |
| idZBL:
|
Zbl 0857.62088 |
| idMR:
|
MR1357349 |
| . |
| Date available:
|
2009-09-24T18:56:26Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124681 |
| . |
| Reference:
|
[1] J. Anděl: Statistische Analyse von Zeitreihen.Akademie Verlag, Berlin 1984. MR 0762087 |
| Reference:
|
[2] J. Anděl: Autoregressive series with random parameters.Math. Operationsforsch. Statist. 7 (1976), 735-741. MR 0428649 |
| Reference:
|
[3] A. Brandt: The stochastic equation $Y_n + 1 = A_nY_n + B_n$ with stationary coefficients.Adv. in Appl. Prob. 18 (1986), 211-220. MR 0827336 |
| Reference:
|
[4] J. Conlisk: Stability in a random coefficient model.Internat. Econom. Rev. 15 (1974), 529-533. Zbl 0283.60065, MR 0362801 |
| Reference:
|
[5] J. Conlisk: A further note on stability in a random coefficient model.Econom. Rev. 17 (1976), 759-764. Zbl 0361.62092 |
| Reference:
|
[6] A. Koubková: First-order autoregressive processes with time-dependent random parameters.Kybernetika 18 (1982), 408-414. MR 0686521 |
| Reference:
|
[7] A. Koubková: Časové řady s náhodnými parametry.PҺD Thesis, Praha 1986 (in Czech). |
| Reference:
|
[8] A. Koubková: Random coefficient AR(1) process.In: Trans. Tenth Prague Conf. on Inform. Theory, Stat. Dec. Functions and Random Proc, Academia, Prague 1988, pp. 51-58. MR 1136308 |
| Reference:
|
[9] D. P. Nicholls, B. G. Quinn: Random coefficient autoregressive models: An introduction.Springer-Verlag, New Үork-Heidelberg-Berlin 1982. Zbl 0497.62081, MR 0671255 |
| Reference:
|
[10] D. Tjøstheim: Some doubly stochastic time series models.J. Time Ser. Anal. 7(1986), 51-72. MR 0832352 |
| Reference:
|
[11] A. A. Weiss: The stability of the AR(1) process with an AR(1) coefficients.J. Time Ser. Anal. 6 (1986), 181-186. MR 0816248 |
| . |
