AbstractWe give conditions for first and second order stationarity of mixture autoregressive processes. We obtain a simple condition for positive definiteness of the solution of a generalisation of the Stein’s equation with semidefinite right-hand side and apply it to second order stationarity. The said condition may be of independent interest
In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for...
AbstractNecessary and sufficient conditions for strict stationarity and invertibility are found for ...
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the altern...
AbstractThis paper derives conditions for the stationarity of a class of multiple autoregressive mod...
We propose a test for the null of strict stationarity in a Random Coefficient AutoRe-gression (RCAR)...
This paper derives conditions for the stationarity of a class of multiple autoregressive models with...
AbstractWe give a characterization of random-coefficient autoregressive processes of order 1, using ...
Time series models are often constructed by combining nonstationary effects such as trends with stoc...
Jury: P. Bougerol (rapporteur), C. Goldie (rapporteur), Y. Guivarc'h (président), X. Guyon (examinat...
AbstractConditions for mixed autoregressive-moving average processes with time-dependent coefficient...
In this paper, we propose a test for coefficient stability of an AR(1) model against the random coef...
AbstractUsing a two stage regression procedure estimates of the unknown parameters of a class of mul...
Stationarity is a very common assumption in time series analysis. A vector autoregressive process is...
Abstract: This paper gives necessary and sucient conditions for stationarity and existence of second...
As the correlation matrices of stationary vector processes are block Toeplitz, autoregressive (AR) v...
In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for...
AbstractNecessary and sufficient conditions for strict stationarity and invertibility are found for ...
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the altern...
AbstractThis paper derives conditions for the stationarity of a class of multiple autoregressive mod...
We propose a test for the null of strict stationarity in a Random Coefficient AutoRe-gression (RCAR)...
This paper derives conditions for the stationarity of a class of multiple autoregressive models with...
AbstractWe give a characterization of random-coefficient autoregressive processes of order 1, using ...
Time series models are often constructed by combining nonstationary effects such as trends with stoc...
Jury: P. Bougerol (rapporteur), C. Goldie (rapporteur), Y. Guivarc'h (président), X. Guyon (examinat...
AbstractConditions for mixed autoregressive-moving average processes with time-dependent coefficient...
In this paper, we propose a test for coefficient stability of an AR(1) model against the random coef...
AbstractUsing a two stage regression procedure estimates of the unknown parameters of a class of mul...
Stationarity is a very common assumption in time series analysis. A vector autoregressive process is...
Abstract: This paper gives necessary and sucient conditions for stationarity and existence of second...
As the correlation matrices of stationary vector processes are block Toeplitz, autoregressive (AR) v...
In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for...
AbstractNecessary and sufficient conditions for strict stationarity and invertibility are found for ...
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the altern...