On the marginal distribution of a first order autoregressive process
type: Item
instance of: scholarly article
title: On the marginal distribution of a first order autoregressive process
zbMATH Open document ID: 0531.62013
DOI: 10.1016/0167-7152(84)90058-0
author: J. D. Hart
published in: Statistics \& Probability Letters
publication date: 1984-01-01T00:00:00Z
review text: Consider a first-order autoregressive process \(X_ t=\rho X_{t-1}+Z_ t,\quad | \rho |<1\), Z's i.i.d., stationary. It is shown that the class of possible marginal distributions of the X's is large. Results concerning possible multimodality of the marginal distribution are obtained. The results are of interest for some questions of general ARMA- processes, too.
Mathematics Subject Classification ID: 62E15
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60E99
zbMATH DE Number: 3842961
zbMATH Keywords: marginal distributions
zbMATH Keywords: first order autoregressive process
zbMATH Keywords: multimodality
zbMATH Keywords: symmetry
zbMATH Keywords: class L distributions
zbMATH Keywords: time series
reviewed by: Lars Holst
MaRDI profile type: Publication
full work available at URL: 0167-7152(84)90058-0
OpenAlex ID: W2007654704
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description: scientific article; zbMATH DE number 3842961