On First and Second Order Stationarity of Random Coefficient Models
نویسنده
چکیده
We give conditions for first and second order stationarity of mixture autoregressive processes and discuss related, sometimes confusing, results for such models. 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.
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