On first and second order stationarity of random coefficient models. (English) Zbl 1206.62145
Summary: 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.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 15B52 | Random matrices (algebraic aspects) |
Software:
FinTSReferences:
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