The Density of the Sufficient Statistics for a Gaussian AR(1) Model in Terms of Generalized Functions

This paper derives the exact joint distribution of the minimal sufficient statistics in the first-order AR(1) model with Gaussian errors and zero start-up value. The results are fundamental to an exact distribution theory for the statistics that are typically of interest in this model.

MoreLess

Authors:	Forchini, Giovanni
Institutions:	Department of Economics and Related Studies, University of York
Subject:	Gaussian AR(1) \| Generalized Functions

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005328562