Two special models of AR(n) processes with time-dependent random parameters

Title:

Two special models of AR(n) processes with time-dependent random parameters

Authors:

Publication:

Kybernetika 31 (4)

Year:

1995

Link:

Abstract:

Two special models of AR(n) series with MA(1) random parameters are investigated. Conditions for their second-order stationarity and explicit forms for their covariance functions are derived. In the case of nonzero covariance function spectral density and the best linear prediction are computed.

BibTeX:

@article{koubkova_two_1995,
    title = {{Two special models of AR(n) processes with time-dependent random parameters}},
    author = {Koubková, Alena},
    year = {1995},
    journal = {{Kybernetika}},
    number = {4},
    pages = {347--357},
    url = {http://www.kybernetika.cz/content/1995/4/347},
    volume = {31},
}