THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS

DOI10.1111/J.1467-9892.1993.TB00148.XMaRDI QIDQ5285838zbMATH OpenOpenAlexFDO

Authors James C. Spall

Publication date 29 June 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00148.x

zbMATH Keywords

Kalman filterinfinitely divisibleestimation errormultivariate autoregressive processnon-normal noisearbitrary noise distributionslong-run distributiontime-varying transition matrix

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Asymptotic properties of autoregressive integrated moving average processes
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• First-order autoregressive gamma sequences and point processes
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• Non-Gaussian series and series with non-zero means: Practical implications for time series analysis
• On ar(1) processes with exponential white noise
• On the consistency of Bayes estimates
• On the marginal distribution of a first order autoregressive process
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Cited in

(6)

• Uncertainties for recursive estimators in nonlinear state-space models, with applications to epidemiology
• The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
• Online stochastic convergence analysis of the Kalman filter
• Nonstationary INAR(1) process with qth-order autocorrelation innovation
• \(N\)-dimensional uniform probability distribution in nonlinear autoregressive filter structures
• scientific article; zbMATH DE number 5713719 (Why is no real title available?)

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