Affine autoregressive process
= Affine autoregressive process
{title2=$X_t=aX_{t-1}+b+\xi_t$}
An <autoregressive process of order one> with <independent and identically distributed random variables> as innovations is an <affine process> when the innovation <exponential moments> are finite. Its one-step coefficients are $A(\theta)=a\theta$ and $B(\theta)=b\theta+\psi(\theta)$, where $\psi$ is the innovation <cumulant-generating function>.