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On calculation of stationary density of autoregressive processes
Kybernetika, Tome 36 (2000) no. 3, pp. 311-319 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.
An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.
Classification : 60G10, 62M10, 65C60
Keywords: AR(1) model; AR(2) model 
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Anděl, Jiří; Hrach, Karel. On calculation of stationary density of autoregressive processes. Kybernetika, Tome 36 (2000) no. 3, pp. 311-319. http://geodesic.mathdoc.fr/item/KYB_2000_36_3_a2/

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