Exact Geometry of Autoregressive Models

Kees Jan van Garderen

No 1996048, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper derives exact expressions for the statistical curvature and related geometric quantities in the first order autoregressive models. We present a method that 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 sufficient statistic is also derived.

Keywords: Differential geometry; statistical curvature; time series; curved exponential models; exact distribution theory (search for similar items in EconPapers)
Date: 1996-10-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp1996.html (text/html)

Related works:
Journal Article: Exact Geometry of Autoregressive Models (1999)
Working Paper: Exact geometry of autoregressive models (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1996048

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().