On calculation of stationary density of autoregressive processes

Jiří Anděl; Karel Hrach

Kybernetika (2000)

  • Volume: 36, Issue: 3, page [311]-319
  • ISSN: 0023-5954

Abstract

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An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.

How to cite

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Anděl, Jiří, and Hrach, Karel. "On calculation of stationary density of autoregressive processes." Kybernetika 36.3 (2000): [311]-319. <http://eudml.org/doc/33485>.

@article{Anděl2000,
abstract = {An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.},
author = {Anděl, Jiří, Hrach, Karel},
journal = {Kybernetika},
keywords = {AR(1) model; AR(2) model; AR(1) model; AR(2) model},
language = {eng},
number = {3},
pages = {[311]-319},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On calculation of stationary density of autoregressive processes},
url = {http://eudml.org/doc/33485},
volume = {36},
year = {2000},
}

TY - JOUR
AU - Anděl, Jiří
AU - Hrach, Karel
TI - On calculation of stationary density of autoregressive processes
JO - Kybernetika
PY - 2000
PB - Institute of Information Theory and Automation AS CR
VL - 36
IS - 3
SP - [311]
EP - 319
AB - An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.
LA - eng
KW - AR(1) model; AR(2) model; AR(1) model; AR(2) model
UR - http://eudml.org/doc/33485
ER -

References

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  16. Rényi A., Probability Theory, Akadémiai Kiadó, Budapest 1970 
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