AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS

Joseph D. Petruccelli

Journal of Time Series Analysis, 1989, vol. 10, issue 1, 65-70

Abstract: Abstract. For the strictly stationary AR(k) process Zt=Λ(Zt‐1) +αt, with Λ:Rk→R, Zt‐1= [Zt‐1, Zt‐2,…,Zt‐k] and {αt} an independent identically distributed white noise process, we partially characterize the Λ for which the stationary distribution of Zt is normal.

Date: 1989
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