Determinants of covariance matrices of differenced AR(1) processes

Chirok Han

doi:10.1017/S0266466607070508

Determinants of covariance matrices of differenced AR(1) processes

Chirok Han

Research output: Contribution to journal › Review article › peer-review

4 Citations (Scopus)

Abstract

In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(I) variables.

Original language	English
Pages (from-to)	1248-1253
Number of pages	6
Journal	Econometric Theory
Volume	23
Issue number	6
DOIs	https://doi.org/10.1017/S0266466607070508
Publication status	Published - 2007 Dec
Externally published	Yes

ASJC Scopus subject areas

Social Sciences (miscellaneous)
Economics and Econometrics

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title = "Determinants of covariance matrices of differenced AR(1) processes",

abstract = "In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(I) variables.",

author = "Chirok Han",

year = "2007",

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doi = "10.1017/S0266466607070508",

language = "English",

volume = "23",

pages = "1248--1253",

journal = "Econometric Theory",

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Determinants of covariance matrices of differenced AR(1) processes

Abstract

ASJC Scopus subject areas

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