Nonminimum phase non-Gaussian autoregressive processes.

DOI10.1073/PNAS.87.1.179MaRDI QIDQ4204972zbMATH OpenOpenAlexWikidataFDO

Authors F. Jay Breidt, Richard A. Davis, Keh-Shin Lii, Murray Rosenblatt

Publication date 1990

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1073/pnas.87.1.179

zbMATH Keywords

asymptotic normalitymaximum likelihoodsmoothnesspositivitynoncausalnon-Gaussian autoregressive schemesAsymptotically efficient methodsnonminimum phase models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Recommendations

• Non-Gaussian autoregressive moving average processes.
• Some simple remarks on an autoregressive scheme and an implied problem
• scientific article; zbMATH DE number 967300
• scientific article; zbMATH DE number 4155674
• Identification of non-minimum phase linear stochastic systems

Cited in

(8)

• Possible origin of the non-linear long-term autocorrelations within the Gaussian regime
• Prediction and non-Gaussian autoregressive stationary sequences
• Non-Gaussian autoregressive moving average processes.
• Exact analysis for the identification of non-minimum phase processes
• scientific article; zbMATH DE number 4155674 (Why is no real title available?)
• scientific article; zbMATH DE number 3992719 (Why is no real title available?)
• Diagnostic tests for non-causal time series with infinite variance
• Infrence for non-negative autoregressive schemes

This page was built for publication: Nonminimum phase non-Gaussian autoregressive processes.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4204972)