Periodic stationarity of random coefficient periodic autoregressions

被引：10

作者：

Aknouche, Abdelhakim ^{[1
]}

Guerbyenne, Hafida ^{[1
]}

机构：

[1] USTHB, Fac Math, Algiers 16111, Algeria

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 07期

关键词：

TIME-SERIES MODELS;

D O I：

10.1016/j.spl.2008.12.012

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：

This paper studies periodic stationarity of a random coefficient periodic autoregression (RCPAR) which generalizes the standard random coefficient autoregressive (RCAR) model to the case where the deterministic parameters and the disturbance variances are periodically time-varying. Sufficient conditions for the existence of a (strictly and second-order) periodically stationary solution to the RCPAR equation are proposed. As an application, we study periodic stationarity, of a class of periodic bilinear models and a periodic autoregression with periodic ARCH errors. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：990 / 996

页数：7

共 50 条

[1] Random-coefficient periodic autoregressions
Franses, Philip Hans
Paap, Richard
[J]. STATISTICA NEERLANDICA, 2011, 65 (01) : 101 - 115
[2] MODEL SELECTION IN PERIODIC AUTOREGRESSIONS
FRANSES, PH
PAAP, R
[J]. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1994, 56 (04) : 421 - 439
[3] Diffusion coefficient in periodic and random potentials
Khoury, M.
Gleeson, James P.
Sancho, J. M.
Lacasta, A. M.
Lindenberg, Katja
[J]. PHYSICAL REVIEW E, 2009, 80 (02):
[4] Shrinkage estimators for periodic autoregressions
Paap, Richard
Franses, Philip Hans
[J]. Journal of Econometrics, 2025, 247
[5] Periodic stationarity conditions for mixture periodic INGARCH models
Almohaimeed, Bader S.
[J]. AIMS MATHEMATICS, 2022, 7 (06): : 9809 - 9824
[6] On stationarity of the periodic AGARCH processes
Lescheb, Ines
[J]. RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2015, 23 (01) : 31 - 37
[7] USING PERIODIC AUTOREGRESSIONS FOR MULTIPLE SPECTRAL ESTIMATION
NEWTON, HJ
[J]. TECHNOMETRICS, 1982, 24 (02) : 109 - 116
[8] Periodic Activation Functions Induce Stationarity
Meronen, Lassi
Trapp, Martin
Solin, Arno
[J]. ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 34 (NEURIPS 2021), 2021, 34
[9] PERIODIC COVARIANCE STATIONARITY OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING AVERAGE PROCESSES
ULA, TA
[J]. WATER RESOURCES RESEARCH, 1990, 26 (05) : 855 - 861
[10] On stationarity and β-mixing of periodic bilinear processes
Bibi, Abdelouahab
Lessak, Radia
[J]. STATISTICS & PROBABILITY LETTERS, 2009, 79 (01) : 79 - 87

← 1 2 3 4 5 →