The asymptotic covariance matrix in this case is the same as that for the Yule–Walker estimates…

An AR(p) model

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The asymptotic covariance matrix in this case is the same as that for the Yule–Walker estimates given by

V (φσ2−1p.

In the special cases = 1 and = 2, we have

AR(1:V (φ=( 1 − φ21),

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