Another Look at AR(1)
Abstract
Given a stationary first-order autoregressive process Xt (with lag-one correlation rho satisfying |rho|<1), we examine the Central Limit Theorem for (1/n)*ln |X1...Xn| and compute variances to high precision. Given a nonstationary process Xt (with |rho|>1), we examine instead (1/n)*ln|Xn| and study the distribution of ln|Xn|-n*ln|rho|.
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