AR models with uniformly distributed noise

DOI10.21136/AM.1989.104367MaRDI QIDQ3470104zbMATH OpenOpenAlexFDO

Authors Michal Horváth

Publication date 1989

Full work available at URL https://eudml.org/doc/15593

zbMATH Keywords

parameter estimationmaximum likelihood estimationnumerical examplewhite noiseiterative methodautoregressive modelsconditional maximum likelihood method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

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• scientific article; zbMATH DE number 1868907

Cited in

(3)

• Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
• On sampling stationary autoregressive model parameters uniformly in \(r^{2}\) value
• Recursive Bayesian estimation of autoregressive model with uniform noise using approximation by parallelotopes

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