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

Forchini, G (2000) The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions pp. 237-243.

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Abstract

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.

Item Type: Article
Authors :
NameEmailORCID
Forchini, Gg.forchini@surrey.ac.ukUNSPECIFIED
Date : November 2000
Uncontrolled Keywords : Gaussian AR(1) model, Generalized functions
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:14
Last Modified : 16 May 2017 15:14
URI: http://epubs.surrey.ac.uk/id/eprint/818242

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