Spatial components dependence for bidimensional time-constant AR(1) model with α-stable noise and triangular coefficients matrix

In this paper, we examine the bidimensional time-constant autoregressive model of order 1 with α α -stable noise. We focus on the case of the triangular coefficients matrix for which one of the spatial components of the model simplifies to the one-dimensional autoregressive time series. We study the asymptotic behaviour of the cross-codifference and the cross-covariation applied to describe the dependence in time between the spatial components of the model. As a result, we formulate the theorem about the asymptotic relation between both measures, which is consistent with the result that is correct for the case of the non-triangular coefficients matrix.