A note on Anderson's note on a stationary autoregressive process

• Autorzy: Radosław Kala
• Języki publikacji: EN

Abstrakty

EN

A form of the covariance matrix of a weakly stationary first-order autoregressive process is established.

Słowa kluczowe

EN

spectral radius; stationarity; covariance matrix

Kategorie tematyczne

• 62H05: Characterization and structure theory
• 62M10: Time series, auto-correlation, regression, etc.

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2010
• Tom: 30
• Numer: 2
• Strony: 237-239

Daty

wydano

2010

otrzymano

2010-08-16

Twórcy

autor

Radosław Kala

• Department of Mathematical and Statistical Methods, Poznań University of Life Sciences, Poland

Bibliografia

• [1] T.W. Anderson, A note on a vector-variate normal distribution and a stationary autoregressive process, J. Multivariate Anal. 72 (2000), 149-150.
• [2] T.T. Nguyen, A note on matrix variate normal distribution, J. Multivariate Anal. 60 (1997), 148-153.
• [3] A.D. Harville, Matrix Algebra From a Statistician's Perspective, Springer, New York 1997.
• [4] T.W. Anderson, The Statistical Analysis of Time Series, Wiley, New York 1971.

Identyfikatory

DOI

10.7151/dmps.1130