Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model
arXiv:0811.1846
Abstract
A statistical inference for random coefficient first-order autoregressive model was investigated by P.M. ROBINSON (1978) in which the coefficients varying over individuals. In this paper we attempt to generalize this result to random coefficient autoregressive model of order . The stationarity condition will derived for this model.
Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)