The Characteristic Roots and the Stationarity Condition in an autoregressive model of order p, AR(p)

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We give a brief description of the characteristic equation, the characteristic roots, and the stationarity condition in terms of the characteristic roots in an AR(p) model. We state the general formulas for the AR(p) model, but specifically we illustrate the results for an AR(2) process.

Опубликовано:

19 сен 2024

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Комментарии : 10

@user-jm6pt8qm5m 4 года назад

thanks for your teaching and i have a little question. when i check the stationarity in an AR(p) model, Is same result obtained regardless of delta(constant term in model) ??

@marjavanderwind4251 4 года назад

Uhm this might be a stupid question, but I do not understand the factorisation of the characteristic equation. You are replacing teta for phi ánd factorizing in the same step. Can you further explain?

@sidddddddddddddd 2 года назад

Hey! Did you figure it out?

@heyna88 Год назад

@@sidddddddddddddd the factorization is wrong

@sneharoychowdhury2862 4 года назад

What if the roots of the characteristic equation are imaginary?

@pradeepjha7416 5 лет назад

It is really very fine and explanatory. Pl. use large fonts. Speak slowly as we read and understand both together. Dr. Jha

@marjavanderwind4251 4 года назад

For me he speaks a bit too slow, so I think it depends on the person. It would be best if he kept his pace as he does. We can adjust it ourselves by putting the playback speed a bit up or down. You can do this when you click on the gear wheel in the bottom of the video. About the larger font, I would agree with you. His writing is luckily enough very neatly, though.