Chen, Min; Li, Dong; Ling, Shiqing - In: Journal of Time Series Analysis 35 (2014) 3, pp. 189-202
type="main" xml:id="jtsa12058-abs-0001" <title type="main">Abstract</title>This article first studies the non-stationarity of the first-order double AR model, which is defined by the random recurrence equation <math xmlns="http://www.w3.org/1998/Math/MathML" display="block" altimg="urn:x-wiley:01439782:media:jtsa12058:jtsa12058-math-0001" wiley:location="equation/jtsa12058-math-0001.gif"><msub><mrow><mi>y</mi></ mrow><mrow><mi>t</mi></mrow></msub><mo class="MathClass-rel">=</mo><msub><mrow><mi>φ</mi></mrow><mrow><mn>0</mn>< /mrow></msub><msub><mrow><mi>y</mi></mrow><mrow><mi>t</mi><mo class="MathClass-bin">−</mo><mn>1</mn></mrow></msub><mo class="MathClass-bin">+</mo><msub><mrow><mi>η</mi></mrow><mrow><mi>t</mi>< /mrow></msub><msqrt><mrow><msub><mrow><mi>γ</mi></mrow><mrow><mn>0</mn></m row></msub><mo class="MathClass-bin">+</mo><msub><mrow><mi>α</mi></mrow><mrow><mn>0</mn>< /mrow></msub><msubsup><mrow><mi>y</mi></mrow><mrow><mi>t</mi><mo class="MathClass-bin">−</mo><mn>1</mn></mrow><mrow><mn>2</mn></mrow></msub sup></mrow></msqrt></math>, where γ<sub>0</sub> 0, α<sub>0</sub> ≥ 0, and {η<sub>t</sub>}is a sequence of i.i.d. symmetric...<//msub></msubsup><//m></mrow><//></mrow>
