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THE STABILITY OF THE AR(1) PROCESS WITH AN AR(1) COEFFICIENT
Author(s) -
Weiss Andrew A.
Publication year - 1985
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1985.tb00408.x
Subject(s) - mathematics , autoregressive model , stability (learning theory) , process (computing) , simple (philosophy) , variance (accounting) , statistics , computer science , philosophy , accounting , epistemology , machine learning , business , operating system
. In this paper we consider a simple time varying coefficient ARMA process:the AR (1) process with an AR (1) coefficient. A basic requirement of the process is that the output has finite variance, and we derive a condition on the parameters for this to be satisfied. The analysis is complicated by the interaction between the equations for the data and the varying coefficient.