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

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Author Info
Forchini, G.

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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.

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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 50 (2000)
Issue (Month): 3 (November)
Pages: 237-243
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Handle: RePEc:eee:stapro:v:50:y:2000:i:3:p:237-243

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Keywords: Gaussian AR(1) model Generalized functions;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Chikuse, Yasuko, 1987. "Methods for Constructing Top Order Invariant Polynomials," Econometric Theory, Cambridge University Press, vol. 3(02), pages 195-207, April. [Downloadable!]
  2. Vinod, H.D. & Shenton, L.R., 1996. "Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value," Econometric Theory, Cambridge University Press, vol. 12(03), pages 481-499, August. [Downloadable!]
  3. Nankervis, J. C. & Savin, N. E., 1988. "The exact moments of the least-squares estimator for the autoregressive model corrections and extensions," Journal of Econometrics, Elsevier, vol. 37(3), pages 381-388, March. [Downloadable!] (restricted)
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This page was last updated on 2009-11-7.

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