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On calculation of stationary density of autoregressive processes. (English) Zbl 1248.62141
Summary: An iterative procedure for computation of stationary densities of autoregressive processes is proposed. With 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.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C60 Computational problems in statistics (MSC2010)
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References:
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