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Nonnegative multivariate AR(1) processes. (English) Zbl 0770.62073

Summary: Conditions for nonnegativity of a \(p\)-dimensional AR(1) process \(X_ t=UX_{t-1}+e_ t\) are investigated. If all the elements of the matrix \(U\) are nonnegative, a new method for estimating \(U\) is proposed. It is proved that the estimators are strongly consistent. Small-sample properties of the estimators are illustrated in a simulation study.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09 Non-Markovian processes: estimation
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References:

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