1. Limited time only! Sign up for a free 30min personal tutor trial with Chegg Tutors
    Dismiss Notice
Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

AR (Autoregressive) Model

  1. Dec 13, 2013 #1
    1. The problem statement, all variables and given/known data

    Consider the AR(2) model (1 - x1*B - x2*B^2)Xt = εt. Show that Xt is a stationary process if and only if the following inequalities are satisfied:

    x1+ x2 < 1
    x2-x1< 1
    |x2| < 1

    3. The attempt at a solution
    1 - x1*B - x2*B^2 = 0
    |B| > 1 so then use quadratic formula to get B = (-x1 +- sqrt(x1^2 + 4x2)) / (2x2)

    Do I need to consider all 6 cases (x2 > 0, x2=0, x2 < 0, x1 > 0, x1=0, x1<0)?

    I think at some point I have to mess with complex roots.

    Is there an easier way of looking at this problem or do I have to go through each case?
     
  2. jcsd
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted



Similar Discussions: AR (Autoregressive) Model
  1. Toothpick Model (Replies: 3)

  2. ANSYS - modeling (Replies: 1)

  3. Equivalent Models (Replies: 0)

  4. Modelling a varactor (Replies: 0)

Loading...