论文标题
在非阴性假设下的随机系数AR（$ \ infty $）的瞬间条件
Moment conditions for random coefficient AR($\infty$) under non-negativity assumptions
论文作者
论文摘要
在假设系数的假设下，我们考虑无限顺序的随机系数自回旋模型（AR（$ \ infty $））。我们开发了基于第一矩和第二矩的组合表达式，开发出足够或必要的条件，以实现矩的有限。在我们的环境中，基于第一刻的方法恢复了杜肯和温滕伯格的足够条件。第二钟方法特别是为了有限的有限矩提供了必要和充分的条件，但显示等同于在有限顺序的情况下等同于Nicholls和Quinn的经典标准。我们通过两个示例进一步说明了结果。
We consider random coefficient autoregressive models of infinite order (AR($\infty$)) under the assumption of non-negativity of the coefficients. We develop novel methods yielding sufficient or necessary conditions for finiteness of moments, based on combinatorial expressions of first and second moments. The methods based on first moments recover previous sufficient conditions by Doukhan and Wintenberger in our setting. The second moment method provides in particular a necessary and sufficient condition for finiteness of second moments which is different, but shown to be equivalent to the classical criterion of Nicholls and Quinn in the case of finite order. We further illustrate our results through two examples.
