A characterization of the innovations of first order autoregressive models
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Suppose that follows a simple AR(1) model, that is, it can be expressed as , where is a white noise with mean equal to and variance . There are many examples in practice where these assumptions hold very well. Consider . We shall show that the autocorrelation function of characterizes the distribution of W-t.
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CitationMoriña, D., Puig, P., Valero, J. A characterization of the innovations of first order autoregressive models. "MetrikA", 01 Febrer 2015, vol. 78, núm. 2, p. 219-225.