On the marginal distribution of a first order autoregressive process
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.
scientific article; zbMATH DE number 3842961