论文信息 - Existence of moments in a stationary stochastic difference equation

Existence of moments in a stationary stochastic difference equation

The stationary stochastic difference equation Xt = YtXt –1 + Wt is analyzed with emphasis on conditions ensuring that ||Xt || p <∞. Some general results are obtained and then applied to different classes of input processes {(Yt, Wt )}. Especially both necessary and sufficient conditions are given in the Gaussian case. We also obtain results concerning moments of products of dependent variables.

Hans Arnfinn Karlsen | H. A. Karlsen

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