Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model

A. Bouchemella; A. Bibi

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arXiv · 0811.1846

Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model

A. Bouchemella·A. Bibi

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Abstract

A statistical inference for random coefficient first-order autoregressive model $[RCAR(1)]$ 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 $p$ $[RCAR(p)]$. The stationarity condition will derived for this model.

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A. Bouchemella, A. Bibi. 2008-11-12. Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model. https://arxiv.org/abs/0811.1846

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