A CHARACTERIZATION OF RANDOM-COEFFICIENT AR(1) MODELS

被引：7
|
作者：
POTZELBERGER, K
机构：
[1] Institut für Statistik und Ökonometrie, CH-4051 Basel
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1990年 / 34卷 / 01期
关键词：
random-coefficient AR(1) processes; transition probability;
D O I：
10.1016/0304-4149(90)90062-W
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We give a characterization of random-coefficient autoregressive processes of order 1, using analytical properties of the transition probabilities. As an example we show that these transition probabilities can be used to find solutions of certain integro-differential equations. © 1990.
引用
收藏
页码：171 / 180
页数：10
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