The Characteristic Roots and the Stationarity Condition in an autoregressive model of order p, AR(p)
Автор: Morten Nyboe Tabor
Загружено: 2016-10-01
Просмотров: 24637
We give a brief description of the characteristic equation, the characteristic roots, and the stationarity condition in terms of the characteristic roots in an AR(p) model. We state the general formulas for the AR(p) model, but specifically we illustrate the results for an AR(2) process.
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