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by Roulh
Sat Sep 14, 2013 11:11 am
Forum: Econometric Discussions
Topic: AR(p) reparameterization
Replies: 0
Views: 1366

AR(p) reparameterization

Hi! I read the attached paper. The main idea of this paper is to reparametize the autoregressive process using the partial autocorrelation function. I would like to ask, if someone could give me an example. Lets assume than we have the AR(2) process y(t)=a_1 y(t-1)+a_2 y(t-2)+epsilon(t), where epsil...

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