A STUDY OF NONLINEAR AUTOREGRESSIVE PROCESSES - INTEGRAL THEORY

Autoregressions with constant parameters are special cases of a genera l iterative process which, in this paper, is given explicit form. No r estriction is imposed to the process of variation of the random variab le which is permitted to suffer both continuous variations and/or disc rete jumps. As a consequence, the general autoregression assumes the s ame form of the iterative solution of an appropriate integral (master) equation. The procedure which leads to this conclusion is simple but not so direct and requires a special expedient that in this paper is d iscussed in detail.