IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v7y1986i2p123-131.html
   My bibliography  Save this article

On Stationarity Of The Solution Of A Doubly Stochastic Model

Author

Listed:
  • Mohsen Pourahmadi

Abstract

. Consider the discrete parameter process {XI} satisfying the doubly stochastic model Xt=øtXt‐1+εt where {ø} and {εt} are also stochastic processes. Necessary and sufficient conditions on {ø} are given for {X1} to be a second order process. When {øt} is a strictly stationary process, some sufficient conditions in terms of {ø} are given which guarantee the wide sense stationarity of {Xt}. It turns out that for these problems the distribution and dependence structure of the process {log |ø|} play an important role.

Suggested Citation

  • Mohsen Pourahmadi, 1986. "On Stationarity Of The Solution Of A Doubly Stochastic Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(2), pages 123-131, March.
    • Handle: RePEc:bla:jtsera:v:7:y:1986:i:2:p:123-131
    DOI: 10.1111/j.1467-9892.1986.tb00490.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1986.tb00490.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1986.tb00490.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    2. Charemza, Wojciech W. & Deadman, Derek F., 1995. "Speculative bubbles with stochastic explosive roots: The failure of unit root testing," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 153-163, June.
    3. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
    4. S. Y. Hwang & I. V. Basawa, 2005. "Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 807-824, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:7:y:1986:i:2:p:123-131. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.