Stationary versus causal solution of a two-sided AR(1) equation
ID: stationary-versus-causal-solution-of-a-two-sided-ar-1-equation
With nondegenerate white noise, a two-sided AR(1) equation has a unique weakly stationary solution exactly when . The solution is causal for and anticausal for . At , an n-term noise sum has variance , while its difference-of-stationary-values representation has variance at most four times the stationary variance, a contradiction.
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