Consistency of an autorsgressive density estimator

DOI10.1080/02331888408801780zbMATH Open0553.62085OpenAlexW2046284728MaRDI QIDQ3347152FDOQ3347152

Authors: J. P. Carmichael 

Publication date: 1984

Published in: Series Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888408801780

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zbMATH Keywords

consistencydensity estimationspectral densityautoregressive representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited In (3)

• An ARMA type probability density estimator
• Estimation of the innovation quantile density function of an \(AR(p)\) process based on autoregression quantiles
• STRONG CONSISTENCY FOR AR MODEL WITH MISSING DATA

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