Anderson, T. W.; Mentz, Raúl P. - In: Journal of Multivariate Analysis 7 (1977) 4, pp. 584-588
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...