Posts Tagged ‘ conditional ’

Inference and autoregressive processes

September 6, 2012
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Inference and autoregressive processes

Consider a (stationary) autoregressive process, say of order 2, for some white noise with variance . Here is a code to generate such a process, > phi1=.5 > phi2=-.4 > sigma=1.5 > set.seed(1) > n=240 > WN=rnorm(n,sd=sigma) > ...

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Strange behavior of correlation estimation

November 2, 2011
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Strange behavior of correlation estimation

The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the cova...

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