On the Marginal Distributions of Stationary AR(1) Sequences
Probability
2007-05-23 v1 Statistics Theory
Statistics Theory
Abstract
In this note we correct an omission in our paper (Satheesh and Sandhya, 2005) in defining semi-selfdecomposable laws and also show with examples that the marginal distributions of a stationary AR(1) process need not even be infinitely divisible.
Keywords
Cite
@article{arxiv.0704.3304,
title = {On the Marginal Distributions of Stationary AR(1) Sequences},
author = {S Satheesh and E Sandhya},
journal= {arXiv preprint arXiv:0704.3304},
year = {2007}
}
Comments
4 pages, in .pdf format, submitted