Random Processes With Specified Spectral Density and First-Order Probability Density
- 1 March 1983
- journal article
- website
- Published by Institute of Electrical and Electronics Engineers (IEEE) in Bell System Technical Journal
- Vol. 62 (3) , 679-701
- https://doi.org/10.1002/j.1538-7305.1983.tb04411.x
Abstract
Summary:An iterative procedure for computation of stationary density of autoregressive processes is proposed. On 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 detailKeywords
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