Another Look at AR(1)
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Evaluation of number-theoretic constants (11Y60) Characteristic and Lyapunov exponents of ordinary differential equations (34D08) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time Markov processes on general state spaces (60J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Abstract: Given a stationary first-order autoregressive process X_t (with lag-one correlation rho satisfying |rho|<1), we examine the Central Limit Theorem for (1/n)*ln |X_1...X_n| and compute variances to high precision. Given a nonstationary process X_t (with |rho|>1), we examine instead (1/n)*ln|X_n| and study the distribution of ln|X_n|-n*ln|rho|.
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