Exact Geometry of Autoregressive Models

Kees Jan van Garderen

Journal of Time Series Analysis, 1999, vol. 20, issue 1, 1-21

Abstract: Exact expressions for the statistical curvature and related geometric quantities in first‐order autoregressive models are derived. We present a method for calculating moments that is applicable in general autoregressive models. It combines the algebra of differential and difference operators to simplify the problem, and to obtain results valid for all sample sizes. The exact covariance matrix for the minimal sufficient statistic is also derived.

Date: 1999
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Citations: View citations in EconPapers (6)

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https://doi.org/10.1111/1467-9892.00122

Related works:
Working Paper: Exact geometry of autoregressive models (1999)
Working Paper: Exact Geometry of Autoregressive Models (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:20:y:1999:i:1:p:1-21

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