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A characterization of the normal distribution

โœ Scribed by Yu. N. Karpov


Publisher
SP MAIK Nauka/Interperiodica
Year
1981
Tongue
English
Weight
269 KB
Volume
30
Category
Article
ISSN
0001-4346

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Simulation of a stationary autoregressio
โœ Eddie McKenzie ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 257 KB

Simulating a stationary AR(p), Xt -~'t ~Xt ~ +Z, when the innovations {Z,} are assumed to be i.i.d, is straightforward. Starting the process in the stationary state, however, requires generation of (X1,X~ ..... Xp) from the stationary p-dimensional distribution. When Zt is normal this may be achieve