Another Look at Ar(1)
نویسنده
چکیده
Given a stationary first-order autoregressive process X t (with lag-one correlation ρ satisfying |ρ| < 1), we examine the Central Limit Theorem for 1 n ln |X 1 · · · X n | and compute variances to high precision. Given a nonstationary process X t (with |ρ| > 1), we examine instead
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تاریخ انتشار 2008