Determinants of Covariance Matrices of Differenced AR(1) Processes
| Year of publication: |
[2008]
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| Authors: | Han, Chirok |
| Publisher: |
[2008]: [S.l.] : SSRN |
| Subject: | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory | Korrelation | Correlation |
| Description of contents: |
In this note, determinants are explicitly calculated for the covariance matrices of differenced and double differenced AR(1) variables
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| Extent: | 1 Online-Ressource (8 p) |
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| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: Econometric Theory, Vol. 23, No. 6, 2007 |
| Classification: | C22 - Time-Series Models |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012773283