Another Look at AR(1)

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dc.creatorFinch, Steven R.
dc.date2007-10-29
dc.date2007-12-29
dc.date.accessioned2026-07-07T08:51:27Z
dc.date.available2026-07-07T08:51:27Z
dc.descriptionGiven a stationary first-order autoregressive process X_t (with lag-one correlation rho satisfying |rho|<1), we examine the Central Limit Theorem for (1/n)*ln |X_1...X_n| and compute variances to high precision. Given a nonstationary process X_t (with |rho|>1), we examine instead (1/n)*ln|X_n| and study the distribution of ln|X_n|-n*ln|rho|.
dc.description8 pages; introduced corrections in section 3
dc.identifierhttps://arxiv.org/abs/0710.5419
dc.identifierhttp://arxiv.org/abs/0710.5419
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/144942
dc.subjectDynamical Systems
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject62M10 (Primary); 11Y60, 34D08, 37H10, 60H10, 60J05, 65C50 (Secondary)
dc.titleAnother Look at AR(1)
dc.typetext

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