The Density of the Sufficient Statistics for a Gaussian AR(1) Model in Terms of Generalized Functions

Giovanni Forchini

Discussion Papers from Department of Economics, University of York

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); Generalized Functions. (search for similar items in EconPapers)
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Related works:
Journal Article: The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:00/06

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