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The generalized variance of a stationary autoregressive process

For a stationary autoregressive process of order p and disturbance variance [sigma]2 it is shown that the determinant of the covariance of T (>=p) consecutive random variables of the process is ([sigma]2)T [Pi]i,j=1p (1 - wiwj)-1, where w1, ..., wp are the roots of the associated polynomial equation.
Year of publication:
1977
Authors: Anderson, T. W. ; Mentz, Raúl P.
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 7.1977, 4, p. 584-588
Publisher: Elsevier
Keywords: Generalized variance autoregressive process covariance matrix
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005160440
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