THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES
推导了离散多元高斯一阶自回归过程中三个二次型的精确有限样本联合矩生成函数，并特化到多元Ornstein-Uhlenbeck过程等情形，对统计推断和渐近理论研究者有用。
Let ( X 1 ) be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (m.g.f.) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of interest, including the m.g.f. of functional of multivariate Ornstein-Uhlenbeck processes that arise asymptotically from more general ( X 1 ) processes as well.