STATIONARITY OF THE SOLUTION OF Xt= AtXt1+t AND ANALYSIS OF NONGAUSSIAN DEPENDENT RANDOM VARIABLES Academic Article uri icon

abstract

  • Abstract. We give general and concrete conditions in terms of the coefficient (stochastic) process {At} so that the (doubly) stochastic difference equation Xt= AtXt1+t has a secondorder strictly stationary solution. It turns out that by choosing {At} and the innovation process {t} properly, a host of stationary processes with nonGaussian marginals and longrange dependence can be generated using this difference equation. Examples of such nowGaussian marginals include exponential, mixed exponential, gamma, geometric, etc. When {At} is a binary time series, the conditional leastsquares estimator of the parameters of this model is the same as those of the parameters of a GaltonWatson branching process with immigration. Copyright 1988, Wiley Blackwell. All rights reserved

published proceedings

  • Journal of Time Series Analysis

author list (cited authors)

  • POURAHMADI, M.

citation count

  • 34

complete list of authors

  • POURAHMADI, MOHSEN

publication date

  • January 1, 1988 11:11 AM

publisher