The nonexplosive solution of explosive autoregressions
Erich H\"ausler, Harald Luschgy
TL;DR
This paper investigates the stationary solutions of explosive autoregressions, providing insights into their behavior when initialized with nonstandard values, which is crucial for understanding their long-term dynamics.
Contribution
It introduces new theoretical results on the existence and properties of stationary solutions for explosive autoregressions with nonstandard initial conditions.
Findings
Stationary solutions exist under certain conditions.
Characterization of solution properties for explosive AR models.
Implications for modeling explosive time series.
Abstract
We establish several features of the stationary solution of purely explosive autoregressions of order d based on nonstandard initial values.
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Taxonomy
TopicsMarine and environmental studies · Energetic Materials and Combustion · Cybersecurity and Information Systems