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

被引：5
|
作者：
Forchini, G [1 ]
机构：
[1] Univ York, Dept Econ & Related Studies, York YO1 5DD, N Yorkshire, England
来源：
STATISTICS & PROBABILITY LETTERS | 2000年 / 50卷 / 03期
关键词：
Gaussian AR(1) model; generalized functions;
D O I：
10.1016/S0167-7152(00)00111-5
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper derives the exact joint distribution of the minimal sufficient statistics in the first-order AR(l) model with Gaussian errors and zero start-up value. The results are fundamental to an exact distribution theory for the statistics that are typically of interest in this model. (C) 2000 Elsevier Science B.V. All rights reserved.
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页码：237 / 243
页数：7
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