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Multiple autoregressive models with random coefficients |
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| Authors: | DF Nicholls BG Quinn |
| Institution: | Australian National University, Canberra, Australia |
| Abstract: | This paper derives conditions for the stationarity of a class of multiple autoregressive models with random coefficients. The models considered include as special cases those previously discussed by Andel (Ann. Math. Statist.42 (1971), 755–759; Math. Operationsforsch. Statist.7 (1976), 735–741). |
| Keywords: | Multiple autoregression random coefficient stationarity eigenvalues eigenvectors tensor product |
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