I hope that this is a right place and way to ask this question. I am trying to understand how to derive the probability density function of x(t) in an AR model of order K given (t-k) past observations.
I am primarily referring to this paper (Section 2.2) but it cites a Japanese book for this derivation. I could not find similar derivation in the other time series books(Shumway and stoffer, Pourahmadi). Can someone please provide me appropriate references or explain it.
Thanks for your time. iinception