A note on Andersen's note on a stationary autoregressive process

DOI10.7151/DMPS.1130zbMATH Open1272.62039OpenAlexW2322714399MaRDI QIDQ3099285FDOQ3099285

Authors: Radosław Kala 

Publication date: 1 December 2011

Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7151/dmps.1130

Recommendations

• Linear autoregressive models
• AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS
• A simple form of Bartlett's formula for autoregressive processes
• A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process
• On the multidimension asymptotic distribution of covariance estimates of linear stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited In (1)

• Necessary and sufficient conditions for AR vector processes to be stationary: applications in information theory and in statistical signal processing

This page was built for publication: A note on Andersen's note on a stationary autoregressive process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3099285)