Stationary distribution of absolute autoregression

Jiří Anděl; Pavel Ranocha

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On calculation of stationary density of autoregressive processes

Jiří Anděl, Karel Hrach (2000)

Kybernetika

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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.