AR models with uniformly distributed noise

DOI10.21136/AM.1989.104367zbMATH Open0694.65075OpenAlexW3048049263MaRDI QIDQ3470104FDOQ3470104

Authors: Michal Horváth 

Publication date: 1989

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

Recommendations

• The uniform autoregressive process of the second order (UAR(2))
• Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
• On ar(1) processes with exponential white noise
• Estimating the generalized autoregression model parameters for unknown noise distribution
• scientific article; zbMATH DE number 1868907

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)

Cites Work

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Cited In (3)

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

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