Dear list members
Re: strict stationarity of the Generalised Autoregressive Model
In the paper
Bougerol P and N Picard (1992), "Strict Stationarity of the Generalised
Autoregressive Processes", Annals of Probability, 20, 1714-30
the authors present necessary and sufficient conditions for the strict
stationarity of the
process
X(n+1) = A(n+1)*X(n) + B(n+1)
when the coefficient matrix An is i.i.d.
I would be most greatful if you could give me some guidance in the
literature for the
case in which An IS NOT i.i.d.
Best regards,
George Christodoulakis
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George A Christodoulakis
City University Business School
Department of Investment & Risk Management
Frobisher Crescent, Barbican Centre
London EC2Y 8HB
tel 0044-20-7477 0139
fax 0044-20-7477 8885
email [log in to unmask]
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