A characterization of the innovations of first order autoregressive models

被引：1

作者：

Morina, D. ^{[1
,2
,3
]}

Puig, P. ^{[2
]}

Valero, J. ^{[4
]}

机构：

[1] Ctr Res Environm Epidemiol CREAL, Barcelona, Spain

[2] Univ Autonoma Barcelona, Dept Matemat, E-08193 Barcelona, Spain

[3] Univ Autonoma Barcelona, Fac Med, GRAAL, Unitat Bioestadist, E-08193 Barcelona, Spain

[4] Univ Politecn Cataluna, Escola Super Agr Barcelona, Barcelona, Spain

来源：

METRIKA | 2015年 / 78卷 / 02期

关键词：

Time series; AR(1) models; Characterization of distributions; TIME-SERIES MODEL; AR(1);

D O I：

10.1007/s00184-014-0497-5

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Suppose that follows a simple AR(1) model, that is, it can be expressed as , where is a white noise with mean equal to and variance . There are many examples in practice where these assumptions hold very well. Consider . We shall show that the autocorrelation function of characterizes the distribution of W-t.

引用

页码：219 / 225

页数：7

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