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Download PDF - A note on Anderson's note on a stationary autoregressive process All rights reserved. Copyright exceptions and limitations apply

ArticleOriginal scientific text

Title

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

Authors ¹

Affiliations

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

Abstract

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

Keywords

spectral radius, stationarity, covariance matrix

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T.T. Nguyen, A note on matrix variate normal distribution, J. Multivariate Anal. 60 (1997), 148-153.
A.D. Harville, Matrix Algebra From a Statistician's Perspective, Springer, New York 1997.
T.W. Anderson, The Statistical Analysis of Time Series, Wiley, New York 1971.