Another Look at AR(1)
From MaRDI portal
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Evaluation of number-theoretic constants (11Y60) Characteristic and Lyapunov exponents of ordinary differential equations (34D08)
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|.
This page was built for publication: Another Look at AR(1)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6207306)
