STRICT STATIONARITY OF GENERALIZED AUTOREGRESSIVE PROCESSES
成果类型：
Article
署名作者：
BOUGEROL, P; PICARD, N
署名单位：
Universite de Lorraine
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176989526
发表日期：
1992
页码：
1714-1730
关键词：
摘要：
In this paper we consider the multivariate equation X(n+1) = A(n+1)X(n) + B(n+1) with i.i.d. coefficients which have only a logarithmic moment. We give a necessary and sufficient condition for existence of a strictly stationary solution independent of the future. As an application we characterize the multivariate ARMA equations with general noise which have such a solution.