Existence of moments in a stationary stochastic difference equation
Author:
- 1 March 1990
- journal article
- research article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 22 (01) , 129-146
Abstract
The stationary stochastic difference equation Xt = YtXt –1 + Wt is analyzed with emphasis on conditions ensuring that ||Xt || p <∞. Some general results are obtained and then applied to different classes of input processes {(Yt, Wt )}. Especially both necessary and sufficient conditions are given in the Gaussian case. We also obtain results concerning moments of products of dependent variables.Keywords
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