Another Look at AR(1)

Steven R. Finch

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arXiv · 0710.5419

Another Look at AR(1)

Steven R. Finch

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Abstract

Given 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|.

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Steven R. Finch. 2007-12-29. Another Look at AR(1). https://arxiv.org/abs/0710.5419

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