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A note on Kendall's autoregressive series
Published online by Cambridge University Press: 14 July 2016
Abstract
Realizations of the autoregressive series considered by Kendall are generated using both Gaussian and uniformly distributed random variables. Estimates of the autocorrelation and power spectrum of the process obtained from these realizations are compared with the theoretical expressions derived by Bartlett. Agreement is well within the theoretical variance.
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- Copyright © Applied Probability Trust 1973
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