Moving averages with random coefficients and random coefficient autoregressive models
Moving averages with random coefficients and random coefficient autoregressive models
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DOI：
10.1080/15326349108807204
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发表时间：
1991
期刊：
影响因子：
--
通讯作者：
Sidney I. Res nick;Eric Willekens
中科院分区：
文献类型：
--
作者：
Sidney I. Res nick;Eric Willekens
考虑序列 Σn C n Z n，其中 {Z n} 是 iid 值随机向量，{C n} 是独立于 {Z n} 的随机矩阵。在{C n} 上适当的可求和条件下，如果Z 1 的分布是在oo 处规则变化的多元分布，那么总和的分布也是如此。应用于p阶随机差分方程中的一阶随机差分方程的平稳解。在差分方程的显式解不可能的情况下，这提供了有关解的形式的一些信息。
Consider the series ∑n C n Z n where {Z n} are iid -valued random vectors and {C n} are random matrices independent of the {Z n}. Under suitable summability conditions on the {C n}, if the distribution of Z 1 is multivariate regularly varying at oo then so is the distribution of the sum. Application is made to stationary solutions of the first order random difference equation in and to the pth order random difference equation Under circumstances where explicit solution of the difference equations is impossible, this provides some information about the form of the solution.