On the marginal distribution of a first order autoregressive process (Q788416)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the marginal distribution of a first order autoregressive process |
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On the marginal distribution of a first order autoregressive process (English)
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1984
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Consider a first-order autoregressive process \(X_ t=\rho X_{t-1}+Z_ t,\quad | \rho |<1\), Z's i.i.d., stationary. It is shown that the class of possible marginal distributions of the X's is large. Results concerning possible multimodality of the marginal distribution are obtained. The results are of interest for some questions of general ARMA- processes, too.
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marginal distributions
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first order autoregressive process
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multimodality
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symmetry
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class L distributions
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time series
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