A note on Anderson's note on a stationary autoregressive process

Radosław Kala

Discussiones Mathematicae Probability and Statistics (2010)

  • Volume: 30, Issue: 2, page 237-239
  • ISSN: 1509-9423

Abstract

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A form of the covariance matrix of a weakly stationary first-order autoregressive process is established.

How to cite

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Radosław Kala. "A note on Anderson's note on a stationary autoregressive process." Discussiones Mathematicae Probability and Statistics 30.2 (2010): 237-239. <http://eudml.org/doc/277061>.

@article{RadosławKala2010,
abstract = {A form of the covariance matrix of a weakly stationary first-order autoregressive process is established.},
author = {Radosław Kala},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {spectral radius; stationarity; covariance matrix},
language = {eng},
number = {2},
pages = {237-239},
title = {A note on Anderson's note on a stationary autoregressive process},
url = {http://eudml.org/doc/277061},
volume = {30},
year = {2010},
}

TY - JOUR
AU - Radosław Kala
TI - A note on Anderson's note on a stationary autoregressive process
JO - Discussiones Mathematicae Probability and Statistics
PY - 2010
VL - 30
IS - 2
SP - 237
EP - 239
AB - A form of the covariance matrix of a weakly stationary first-order autoregressive process is established.
LA - eng
KW - spectral radius; stationarity; covariance matrix
UR - http://eudml.org/doc/277061
ER -

References

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  1. [1] T.W. Anderson, A note on a vector-variate normal distribution and a stationary autoregressive process, J. Multivariate Anal. 72 (2000), 149-150. Zbl0976.62085
  2. [2] T.T. Nguyen, A note on matrix variate normal distribution, J. Multivariate Anal. 60 (1997), 148-153. Zbl0883.62050
  3. [3] A.D. Harville, Matrix Algebra From a Statistician's Perspective, Springer, New York 1997. Zbl0881.15001
  4. [4] T.W. Anderson, The Statistical Analysis of Time Series, Wiley, New York 1971. Zbl0225.62108

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