The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions

G Forchini

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Journal article

The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions

G Forchini

Vol.50(3), pp.237-243

11/2000

Abstract

Gaussian AR(1) model

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.

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Title: The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions
Creators: G Forchini
Publication Details: Vol.50(3), pp.237-243
Date published: 11/2000
Date submitted: 16/05/2017
Identifiers: 99512106402346
Academic Unit: University of Surrey
Resource Type: Journal article

The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions

Abstract

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Details

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