BACK to VOLUME 28 NO.3

Kybernetika 28(3):213-226, 1992.

Nonnegative Multivariate AR(1) Processes

Jiří Anděl


Abstract:

Conditions for nonnegativity of a p-dimensional AR(1) process $X_t = U X_{t-1} + \e_t$ are investigated in the paper. If all the elements of the matrix U are nonnegative, a new method for estimating U is proposed. It is proved that the estimators are strongly consistent. Small-sample properties of the estimators are illustrated in a simulation study.


Keywords:


AMS:


download full-text.pdf
download abstract.pdf

BIB TeX

@article{kyb:1992:3:213-226,

author = {And\v{e}l, Ji\v{r}\'{\i}},

title = {Nonnegative Multivariate AR(1) Processes},

journal = {Kybernetika},

volume = {28},

year = {1992},

number = {3},

pages = {213-226}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


BACK to VOLUME 28 NO.3