The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions

Giovanni Forchini

Statistics & Probability Letters, 2000, vol. 50, issue 3, 237-243

Abstract: This paper derives the exact joint distribution of the minimal sufficient statistics in the first-order AR(1) model with Gaussian errors and zero start-up value. The results are fundamental to an exact distribution theory for the statistics that are typically of interest in this model.

Keywords: Gaussian; AR(1); model; Generalized; functions (search for similar items in EconPapers)
Date: 2000
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