First-order autoregressive processes with time-dependent random parameters

Title:

First-order autoregressive processes with time-dependent random parameters

Authors:

Publication:

Kybernetika 18 (5)

Year:

1982

Link:

Abstract:

We consider a first-order autoregressive process {Xt} with random parameters which are not independent in time. We ask when {Xt} is stationary and derive the form of its covariance function and spectral density under the assumption that the random parameters generate a first-order moving-average process. We also construct the best linear prediction.

BibTeX:

@article{koubkova_firstorder_1982,
    title = {{First-order autoregressive processes with time-dependent random parameters}},
    author = {Koubková, Alena},
    year = {1982},
    journal = {{Kybernetika}},
    number = {5},
    pages = {408--414},
    url = {http://www.kybernetika.cz/content/1982/5/408},
    volume = {18},
}