Abstract
In this paper we consider the multivariate equation $X_{n+1} = A_{n+1}X_n + B_{n+1}$ with i.i.d. coefficients which have only a logarithmic moment. We give a necessary and sufficient condition for existence of a strictly stationary solution independent of the future. As an application we characterize the multivariate ARMA equations with general noise which have such a solution.
Citation
Philippe Bougerol. Nico Picard. "Strict Stationarity of Generalized Autoregressive Processes." Ann. Probab. 20 (4) 1714 - 1730, October, 1992. https://doi.org/10.1214/aop/1176989526
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