Edgeworth’s time series model: Not AR(1) but same covariance structure
Edgeworth 时间序列模型：并非 AR(1)，却具有相同协方差结构
In an 1886 paper, Edgeworth developed a method for simulating time series processes with substantial dependence. A version of this process with normal errors has the same means and covariance structure as an AR(1) process, but is actually a mixture of a very large number of processes, some of which are not stationary. That is, joint distributions of lag 3 or greater are not normal but are mixtures of normals (even though all successive pairs are bivariate normal). Thus, it…