AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS

DOI10.1111/J.1467-9892.1989.TB00015.XMaRDI QIDQ3827440zbMATH OpenOpenAlexFDO

Authors Joseph D. Petruccelli

Publication date 1989

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1989.tb00015.x

zbMATH Keywords

normal distributionstationary distributionstrictly stationary AR(k) processwhite noise

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Simulation of a stationary autoregression: A characterization of the normal distribution
• A note on Andersen's note on a stationary autoregressive process
• ON LINEAR PROCESSES WITH GIVEN MOMENTS
• Autoregressive processes with normal-Laplace marginals

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