Hey guys,

Given the AR(2) process where e is iid,

is the process stationary? That is, are all unit roots <1?

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- November 12th 2010, 04:38 PMsfspitfire23stats problem
Hey guys,

Given the AR(2) process where e is iid,

is the process stationary? That is, are all unit roots <1? - November 13th 2010, 05:18 PMMoo
Hello,

The characteristic polynomial is just

Find its roots.

For the process to be stationary, you need the roots to be such that their modulus (or absolute value if they're real) to be**different**from 1.

The condition for it to be < 1 is to prove that the process is in canonical form, which is not the same.