Advances and Applications in Statistics
Volume 56, Issue 1, Pages 37 - 42
(May 2019) http://dx.doi.org/10.17654/AS056010037 |
|
A NOTE ON THE ASYMPTOTIC DISTRIBUTION OF STUDENT’S t FOR AR(1) PROCESSES
Athanase Polymenis
|
Abstract: In earlier research work, the asymptotic distribution of a Student’s t type of statistic concerning autoregressive processes of order 1 (denoted as AR(1)) was obtained. The aim of the present study is to provide an alternative way which is more straightforward than the previous one in order to find this distribution. For that purpose, some general results from asymptotic multivariate theory are shown to also hold for our model of interest and thus they are adequately applied in a univariate context. Our findings agree with the results reported in earlier literature. |
Keywords and phrases: autoregressive process, asymptotic distribution, Student’s t-statistic.
|
|
Number of Downloads: 324 | Number of Views: 2408 |
|