Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model
A. Bouchemella, A. Bibi
TL;DR
This paper extends the statistical analysis of random coefficient autoregressive models from order one to higher orders, deriving stationarity conditions and generalizing prior results.
Contribution
It generalizes the existing results on RCAR(1) models to RCAR(p), providing new stationarity conditions for higher-order models.
Findings
Derived stationarity conditions for RCAR(p) models
Extended previous RCAR(1) results to higher order
Provided theoretical framework for future inference
Abstract
A statistical inference for random coefficient first-order autoregressive model was investigated by P.M. ROBINSON (1978) in which the coefficients varying over individuals. In this paper we attempt to generalize this result to random coefficient autoregressive model of order . The stationarity condition will derived for this model.
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Taxonomy
TopicsStatistical Distribution Estimation and Applications · Statistical Methods and Inference · Bayesian Methods and Mixture Models