Convergence Condition for AR Index Model

Eric Iksoon Im, UH Hilo
David Hammes, UH Hilo
& Doug T Willis, University of Washington at Tacoma

Abstract

The convergence condition for the solution of homogeneous difference equation of order n are reduced to a remarkably simple inequality if the lag coefficients are identical. The condition is not only analytically elegant but also applicable in checking the validity of the conditions for stationarity of an AR process of order n.

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