Timeline for Variance of a stationary AR(2) model
Current License: CC BY-SA 3.0
15 events
| when toggle format | what | by | license | comment | |
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| Mar 29, 2022 at 0:21 | answer | added | Nicole Kappelhof | timeline score: 3 | |
| Feb 11, 2022 at 17:24 | answer | added | Herman Jaramillo | timeline score: 0 | |
| Feb 1, 2021 at 13:54 | history | edited | Richard Hardy |
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| Dec 7, 2020 at 7:04 | answer | added | kdbanman | timeline score: 7 | |
| Oct 20, 2020 at 3:05 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jun 21, 2020 at 6:04 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Feb 21, 2020 at 10:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jan 17, 2020 at 6:00 | history | tweeted | twitter.com/StackStats/status/1218050395584499712 | ||
| Jan 15, 2020 at 18:36 | comment | added | Alexis | +1 @RichardHardy Please allow me to add a plug for precisely communicating one's methods, and results! | |
| Jan 15, 2020 at 18:00 | answer | added | Harald Uhlig | timeline score: 0 | |
| Jan 19, 2017 at 18:10 | comment | added | javlacalle | Regarding (2), the variance of the AR(2) model will depend on the first and second order autocovariances. As you say, in order to get its value you will have to solve the Yule-Walker equations; by doing so, I think you will get $Var(y_t)=\frac{(1-\beta_2)\sigma^2_\varepsilon}{(1+\beta_2)[(1-\beta_2)^2-\beta_1^2]}$. | |
| Jan 19, 2017 at 17:40 | history | edited | Richard Hardy |
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| Jan 19, 2017 at 17:39 | comment | added | Richard Hardy | Regarding (1), it must depend on the context. An answer claiming otherwise would be careless, IMHO. | |
| Jan 16, 2017 at 18:02 | history | edited | user369210 | CC BY-SA 3.0 |
deleted 7 characters in body
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| Jan 16, 2017 at 2:49 | history | asked | user369210 | CC BY-SA 3.0 |