The generalized variance of a stationary autoregressive process |
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Authors: | T. W. Anderson,Raú l P. Mentz, |
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Affiliation: | 1. Stanford University USA;2. University of Tucumán, Argentina |
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Abstract: | For a stationary autoregressive process of order p and disturbance variance σ2 it is shown that the determinant of the covariance of T (≥p) consecutive random variables of the process is (σ2)T Πi,j=1p (1 − wiwj)−1, where w1, …, wp are the roots of the associated polynomial equation. |
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Keywords: | Generalized variance autoregressive process covariance matrix |
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