Kybernetika 31 no. 4, 347-357, 1995

Two special models of AR(n) processes with time-dependent random parameters

Alena Koubková


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.


60G10, 62M15, 62M10, 62M20