Abstract
In the case of the scalar RCA model, that is the model with p = 1, Andel (1976) has obtained conditions for the existence of a singly infinite process {X(t); t = 1-n,…,0,1,…} satisfying (1.1.1) which is second order stationary. In this chapter we shall extend the results of Andel to the multivariate RCA model and also obtain conditions for the existence of a doubly infinite process {X(t); t = 0,± 1,± 2,…} which is second order stationary and satisfies (1.1.1) for all t.
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© 1982 Springer-Verlag New York Inc.
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Nicholls, D.F., Quinn, B.G. (1982). Stationarity and Stability. In: Random Coefficient Autoregressive Models: An Introduction. Lecture Notes in Statistics, vol 11. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-6273-9_2
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DOI: https://doi.org/10.1007/978-1-4684-6273-9_2
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-90766-6
Online ISBN: 978-1-4684-6273-9
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