THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS
DOI10.1111/J.1467-9892.1993.TB00148.XzbMATH Open0769.62071OpenAlexW1985248918MaRDI QIDQ5285838FDOQ5285838
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
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Cites Work
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- Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
- Validation of state-space models from a single realization of non-Gaussian measurements
- Asymptotic distribution theory for the kalman filter state estimator
- Linear processes are nearly Gaussian
- On the marginal distribution of a first order autoregressive process
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- On ar(1) processes with exponential white noise
- Non-Gaussian series and series with non-zero means: Practical implications for time series analysis
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- Asymptotic properties of autoregressive integrated moving average processes
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 \(q\)th-order autocorrelation innovation
- \(N\)-dimensional uniform probability distribution in nonlinear autoregressive filter structures
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