Persistence of an AR process for each t
Posted: Fri Jan 22, 2016 5:57 am
Given an AR(p) process, I want to study its persistence and constructing a measure of persistence of each time t. Persistence is usually measured as the sum of the autoregressive parameters and I am wondering if it is possible to estimate persistence between t and t-1 for each t, in order to construct a new time series of this measure.
Thank you all in advance
Thank you all in advance