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Kybernetika 36(3):311-319, 2000.

On Calculation of Stationary Density of Autoregressive Processes.

Jiří Anděl and Karel Hrach


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.


AMS: 60G;


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BIB TeX

@article{kyb:2000:3:311-319,

author = {And\v{e}l, Ji\v{r}\'{\i} and Hrach, Karel},

title = {On Calculation of Stationary Density of Autoregressive Processes.},

journal = {Kybernetika},

volume = {36},

year = {2000},

number = {3},

pages = {311-319}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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