Generalised autoregressive processes
2022-01-10 — 2023-08-11
Wherein generalisations of autoregressive processes are presented, the linear AR(1) special case is examined, and variance, correlation and conditional distribution properties are derived.
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Some useful generalizations of autoregressive (i.e., AR(1)) processes.
Linear ones are an interesting case (G. K. Grunwald, Hyndman, and Tedesco 1996; Gary K. Grunwald et al. 2000).
1 References
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Barndorff-Nielsen, Ole Eiler, and Stelzer. 2011. “Multivariate supOU Processes.” The Annals of Applied Probability.
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