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First-order autoregressive processes with time-dependent random parameters. (English) Zbl 0517.62092

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
60G25 Prediction theory (aspects of stochastic processes)
34F05 Ordinary differential equations and systems with randomness
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References:
[1] J. Anděl: Autoregressive series with random parameters. Math. Operationsforsch. Statist. 7 (1976), 735-741. · Zbl 0346.62066
[2] J. Anděl: Statistická analýza časových řad. (Statistical analysis of time series). SNTL, Praha 1976.
[3] D. F. Nichols B. G. Quinn: Multiple autoregressive models with random coefficients. J. Multivariate Anal. 11 (1981), 185-198. · Zbl 0512.62084
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