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- W2754748512 abstract "Let ${X_n}_{nge0}$ be a sequence of real valued random variables such that $X_n=rho_n X_{n-1}+epsilon_n,~n=1,2,ldots$, where ${(rho_n,epsilon_n)}_{nge1}$ are i.i.d. and independent of initial value (possibly random) $X_0$. In this paper it is shown that, under some natural conditions on the distribution of $(rho_1,epsilon_1)$, the sequence ${X_n}_{nge0}$ is regenerative in the sense that it could be broken up into i.i.d. components. Further, when $rho_1$ and $epsilon_1$ are independent, we construct a non-parametric strongly consistent estimator of the characteristic functions of $rho_1$ and $epsilon_1$." @default.
- W2754748512 created "2017-09-25" @default.
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- W2754748512 date "2017-09-12" @default.
- W2754748512 modified "2023-09-28" @default.
- W2754748512 title "AR(1) sequence with random coefficients: Regenerative properties and its application" @default.
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