Bounded solutions for ARMA model with varying coefficients

• Autorzy: A. Makagon , A. Weron , A. Wyłomańska
• Języki publikacji: EN

Abstrakty

EN

The paper deals with ARMA systems of equations with varying coefficients. A complete description of bounded solutions to ARMA(1,q) systems is obtained and their uniqueness is studied. Some special cases are discussed, including the case of significant interest of systems with periodic coefficients. The paper generalizes results of [9] and opens a new direction of study.

Kategorie tematyczne

• 62M10: Time series, auto-correlation, regression, etc.

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2004
• Tom: 31
• Numer: 3
• Strony: 273-285

Daty

wydano

2004

Twórcy

autor

A. Makagon

• Department of Mathematics, Hampton University, Hampton, VA 23668, U.S.A.

autor

A. Weron

• Hugo Steinhaus Center, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

A. Wyłomańska

• Institute of Mathematics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

Identyfikatory

DOI

10.4064/am31-3-3