Uniformly distributed first-order autoregressive time series models and multiplicative congruential random number generators

DOI10.2307/3214722MaRDI QIDQ4031663zbMATH OpenOpenAlexFDO

Authors A. J. Lawrance

Publication date 1 April 1993

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214722

zbMATH Keywords

time seriesreversibilityphase diagramsmoving-average processmultiplicative congruential random number generatorschaotic processdiscrete processfirst-order linear autoregressive processfirst-order recursion functionrectangular stationary marginal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random number generation in numerical analysis (65C10) Applications of dynamical systems (37N99)

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Cited in

(7)

• STATISTICAL DEPENDENCY IN CHAOS
• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• Nonparametric density estimation for nonmixing approximable stochastic processes
• Generation of chaos in autoregressive time series
• Reverse chaos may not be a curseexamples of stationary reverse chaotic sequences whose density can be estimated with optimal i.i.d. rate
• Characterization of autoregressive processes using entropic quantifiers
• A bivariate uniform autoregressive process

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