The generalized variance of a stationary autoregressive process

T. W. Anderson and Raúl P. Mentz

Journal of Multivariate Analysis, 1977, vol. 7, issue 4, 584-588

Abstract: For a stationary autoregressive process of order p and disturbance variance [sigma]2 it is shown that the determinant of the covariance of T (>=p) consecutive random variables of the process is ([sigma]2)T [Pi]i,j=1p (1 - wiwj)-1, where w1, ..., wp are the roots of the associated polynomial equation.

Keywords: Generalized; variance; autoregressive; process; covariance; matrix (search for similar items in EconPapers)
Date: 1977
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