On stationarity of a multiple doubly stochastic model
نویسنده
چکیده
A multiple linear process with random coefficients is investigated in the paper. Conditions for existence of such process are derived and its covariance function as well as the matrix of spectral densities are calculated. The results are applied to multiple AR(1) process with random coefficients, where the matrices of coefficients can be described by a stationary process. In this case conditions for existence and stationarity of the AR(1) process are given.
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ورودعنوان ژورنال:
- Kybernetika
دوره 27 شماره
صفحات -
تاریخ انتشار 1991