On first and second order stationarity of random coefficient models

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Abstract

We 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. © 2010 Elsevier Inc. All rights reserved.

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APA

Boshnakov, G. N. (2011). On first and second order stationarity of random coefficient models. Linear Algebra and Its Applications, 434(2), 415–423. https://doi.org/10.1016/j.laa.2010.09.023

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