Parameter range from complex inequality

DanMat
Messages
2
Reaction score
0

Homework Statement


Hi Guys,
I try to find the range for parameters phi1 and phi2 were the autoregressive process below is stationary.
We have the process X(t)+phi1*X(t-1)+phi2X(t-2)=Epsilon(t) (1)

Homework Equations


We get the characteristic polynomial F(z)=z^2+phi1*z+phi2 (2)
The process is stationary if the roots z are within the unit circle.

The Attempt at a Solution


I can off course easily find the roots of the polynom:
z1=-phi1/2+sqrt(phi1^2/4-phi2) (3)
z2=-phi1/2-sqrt(phi1^2/4-phi2) (4)

Now we need to find the range for phi1 and phi2, such that the absolute value of z1 and z2 is <1. Since the phi's can be complex, this is a bit tricky and I'm stuck here. I tried substituting phi1=a+bi and phi2=c+di but I can't get rid of the squareroot on the RHS of (3) and (4). Any good ideas, how to solve this?
 
Physics news on Phys.org
Solved it. It's not the phi's that can get complex, only the roots. Then it's "easily" possible to find the allowed parameter range.
 
There are two things I don't understand about this problem. First, when finding the nth root of a number, there should in theory be n solutions. However, the formula produces n+1 roots. Here is how. The first root is simply ##\left(r\right)^{\left(\frac{1}{n}\right)}##. Then you multiply this first root by n additional expressions given by the formula, as you go through k=0,1,...n-1. So you end up with n+1 roots, which cannot be correct. Let me illustrate what I mean. For this...
Back
Top