THE FINITE-SAMPLE DENSITY OF THE SUFFICIENT STATISTIC AND RELATED TESTS IN A GAUSSIAN AUTOREGRESSION
高斯自回归中充分统计量的有限样本密度及相关检验
A first-order Gaussian autoregressive model is considered. The exact finite-sample joint density of the minimal sufficient statistic is derived, for any value of the autoregressive parameter. This allows us to derive explicitly the exact density of the autocorrelation coefficient and its Studentized t-ratio, whose densities were available only in the asymptotic case and not for all values of the parameter and the statistic. This article also demonstrates how to solve a…