Luger, Richard - In: Journal of Time Series Analysis 27 (2006) 1, pp. 119-128
Consider the first-order autoregressive model y_t = phiy_t - 1 + ϵ_t, t = 1, H , T, with arbitrary initial non-zero value y_0. Assuming that the error terms ϵ_t are independently distributed according to median-zero distributions [Zielinski (1999)Journal of Time Series Analysis, Vol. 20, p. 477]...