On calculation of stationary density of autoregressive processes
نویسندگان
چکیده
An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.
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عنوان ژورنال:
- Kybernetika
دوره 36 شماره
صفحات -
تاریخ انتشار 2000