The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions

DOI10.1016/S0167-7152(00)00111-5zbMath0963.62017MaRDI QIDQ1591162

Giovanni Forchini

Publication date: 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

generalized functionsGaussian AR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Sufficient statistics and fields (62B05)

Related Items (1)

On the sufficient statistics for multivariate ARMA models: approximate approach

Cites Work

• Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory
• The exact moments of the least squares estimator for the autoregressive model
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