تقرير
A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process
| العنوان: | A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process |
|---|---|
| المؤلفون: | Kulkarni, Varsha S. |
| سنة النشر: | 2021 |
| المجموعة: | Mathematics Statistics |
| مصطلحات موضوعية: | Mathematics - Statistics Theory, Economics - Econometrics |
| الوصف: | The higher dimensional autoregressive models would describe some of the econometric processes relatively generically if they incorporate the heterogeneity in dependence on times. This paper analyzes the stationarity of an autoregressive process of dimension $k>1$ having a sequence of coefficients $\beta$ multiplied by successively increasing powers of $0<\delta<1$. The theorem gives the conditions of stationarity in simple relations between the coefficients and $k$ in terms of $\delta$. Computationally, the evidence of stationarity depends on the parameters. The choice of $\delta$ sets the bounds on $\beta$ and the number of time lags for prediction of the model. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2108.09083 |
| رقم الأكسشن: | edsarx.2108.09083 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |