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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.
Year of publication:
2000
Authors: Forchini, G.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 50.2000, 3, p. 237-243
Publisher: Elsevier
Subject: Gaussian AR(1) model Generalized functions
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005137947
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