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Fedor Petrov (https://mathoverflow · 2019

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math.ST 1

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General proof of a limit related to AR(k) model of Statistics

math.ST · 2019-08-01 · conditional · novelty 4.0

For any autoregressive order k, the averaged multidimensional sum of products of root powers converges to an explicit rational formula depending only on the absolute value of the sum of the shifts.

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  • General proof of a limit related to AR(k) model of Statistics math.ST · 2019-08-01 · conditional · none · ref 1

    For any autoregressive order k, the averaged multidimensional sum of products of root powers converges to an explicit rational formula depending only on the absolute value of the sum of the shifts.