STRICT STATIONARITY OF GENERALIZED AUTOREGRESSIVE PROCESSES

被引：279

作者：

BOUGEROL, P ^{[1
]}

PICARD, N ^{[1
]}

机构：

[1] UNIV NANCY 1, DEPT MATH, F-54506 VANDOEUVRE LES NANCY, FRANCE

来源：

ANNALS OF PROBABILITY | 1992年 / 20卷 / 04期

关键词：

AUTOREGRESSIVE MODEL; LINEAR STOCHASTIC SYSTEM; ARMA PROCESS; STRICT STATIONARITY; STATE SPACE SYSTEM; LYAPOUNOV EXPONENT; STOCHASTIC DIFFERENCE EQUATION;

D O I：

10.1214/aop/1176989526

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider the multivariate equation X(n+1) = A(n+1)X(n) + B(n+1) with i.i.d. coefficients which have only a logarithmic moment. We give a necessary and sufficient condition for existence of a strictly stationary solution independent of the future. As an application we characterize the multivariate ARMA equations with general noise which have such a solution.

引用

页码：1714 / 1730

页数：17

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