A characterization of the innovations of first order autoregressive models

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Title:	A characterization of the innovations of first order autoregressive models
Author:	Moriña, David; Puig, Pedro; Valero Baya, Jordi
Other authors:	Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa; Universitat Politècnica de Catalunya. GRBIO - Grup de Recerca en Bioestadística i Bioinformàtica
Abstract:	“The final publication is available at Springer via http://dx.doi.org/10.1007/s00184-014-0497-5"
Abstract:	Suppose that follows a simple AR(1) model, that is, it can be expressed as , where is a white noise with mean equal to and variance . There are many examples in practice where these assumptions hold very well. Consider . We shall show that the autocorrelation function of characterizes the distribution of W-t.
Abstract:	Peer Reviewed
Subject(s):	-Àrees temàtiques de la UPC::Matemàtiques i estadística -Distribution (Probability theory) -Time series -AR(1) models -Characterization of distributions -TIME-SERIES MODEL -AR(1) -Distribució (Teoria de la probabilitat)
Rights:	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Document type:	Article - Submitted version Article
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