In this paper, the relative dependence of a linear regression model is studied. In particular, the dependence of autoregressive models in time series are investigated. It is shown that for the first-order non-stationa...In this paper, the relative dependence of a linear regression model is studied. In particular, the dependence of autoregressive models in time series are investigated. It is shown that for the first-order non-stationary autoregressive model and the random walk with trend and drift model, the dependence between two states decreases with lag. Some numerical examples are presented as well.展开更多
基金supported by the National Science Foundation of China under Grant No.71171193the Fundamental Research Funds for the Central Universitiesthe Research Funds of Renmin University of China under Grant No.10XNI001
文摘In this paper, the relative dependence of a linear regression model is studied. In particular, the dependence of autoregressive models in time series are investigated. It is shown that for the first-order non-stationary autoregressive model and the random walk with trend and drift model, the dependence between two states decreases with lag. Some numerical examples are presented as well.