Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Note on the Strong Mixing Property for a Random Coefficient Autoregressive Process

  • Lee, Sang-Yeol (Department of Statistics, Sookmyung Women's University, Yongsan-ku, Seoul 140-742)
  • Published : 1995.06.01
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Abstract

In this article we show that a class of random coefficient autoregressive processes including the NEAR (New exponential autoregressive) process has the strong mixing property in the sense of Rosenblatt with mixing order decaying to zero. The result can be used to construct model free prediction interval for the future observation in the NEAR processes.

Keywords

References

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