Another Look at AR(1)

Details Another Look at AR(1) Another Look at AR(1)

2007-10-29

arxiv.org/abs/0710.5419v2

Mathematics

Dynamical Systems

8 pages; introduced corrections in section 3

Scientific paper

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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