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Kybernetika 31(4):347-357, 1995.

Two Special Models of AR(n) Processes with Time-Dependent Random Parameters

Alena Koubková


Abstract:

Two special models of AR(n) series with MA(1) random parameters are investigated. Conditions for their second-order stationarity and explicit forms for their covariance functions are derived. In the case of nonzero covariance function spectral density and the best linear prediction are computed.


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BIB TeX

@article{kyb:1995:4:347-357,

author = {Koubkov\'{a}, Alena},

title = {Two Special Models of AR(n) Processes with Time-Dependent Random Parameters},

journal = {Kybernetika},

volume = {31},

year = {1995},

number = {4},

pages = {347-357}

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

}


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