Another Look at AR(1)
Dynamical Systems
2007-12-29 v2 Probability
Statistics Theory
Statistics Theory
Abstract
Given a stationary first-order autoregressive process X_t (with lag-one correlation rho satisfying |rho|<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 |rho|>1), we examine instead (1/n)*ln|X_n| and study the distribution of ln|X_n|-n*ln|rho|.
Cite
@article{arxiv.0710.5419,
title = {Another Look at AR(1)},
author = {Steven R. Finch},
journal= {arXiv preprint arXiv:0710.5419},
year = {2007}
}
Comments
8 pages; introduced corrections in section 3