On sampling stationary autoregressive model parameters uniformly in r^2 value

DOI10.1016/J.SPL.2005.08.028MaRDI QIDQ2489880zbMATH OpenOpenAlexFDO

Authors L. J. Fitzgibbon

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.08.028

zbMATH Keywords

SimulationAutoregressive\(r\)-SquaredLog-Gamma product distributionProduct distributionProduct of random variablesUniform product distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05)

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Cites work

• On the parametrization of autoregressive models by partial autocorrelations
• Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.

Cited in

(2)

• Sampling schemes by variables inspection for the first-order autoregressive model between linear profiles
• Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models

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