Haddad J.N.; Nimah M.N.; Farajallah N.
(CHICHESTERTHE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND, 2007)
Let [Xt] be a zero mean, Gaussian, autoregressive process of order one with parameter α. For a realization (X1, X 2, . . . , Xn)′ of [Xt], we consider the transformation Yt = Xt-Xt-1, for t = 2, . . . , n. Then the likelihood ...