AR models with uniformly distributed noise
Aplikace matematiky (1989)
- Volume: 34, Issue: 5, page 396-401
- ISSN: 0862-7940
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topHorváth, Michal. "AR models with uniformly distributed noise." Aplikace matematiky 34.5 (1989): 396-401. <http://eudml.org/doc/15593>.
@article{Horváth1989,
abstract = {AR models are frequently used but usually with normally distributed white noise. In this paper AR model with uniformly distributed white noise are introduces. The maximum likelihood estimation of unknown parameters is treated, iterative method for the calculation of estimates is presented. A numerical example of this procedure and simulation results are also given.},
author = {Horváth, Michal},
journal = {Aplikace matematiky},
keywords = {parameter estimation; autoregressive models; white noise; conditional maximum likelihood method; maximum likelihood estimation; iterative method; numerical example; AR model; parameter estimation; autoregressive models; white noise; conditional maximum likelihood method; maximum likelihood estimation; iterative method; numerical example},
language = {eng},
number = {5},
pages = {396-401},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {AR models with uniformly distributed noise},
url = {http://eudml.org/doc/15593},
volume = {34},
year = {1989},
}
TY - JOUR
AU - Horváth, Michal
TI - AR models with uniformly distributed noise
JO - Aplikace matematiky
PY - 1989
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 34
IS - 5
SP - 396
EP - 401
AB - AR models are frequently used but usually with normally distributed white noise. In this paper AR model with uniformly distributed white noise are introduces. The maximum likelihood estimation of unknown parameters is treated, iterative method for the calculation of estimates is presented. A numerical example of this procedure and simulation results are also given.
LA - eng
KW - parameter estimation; autoregressive models; white noise; conditional maximum likelihood method; maximum likelihood estimation; iterative method; numerical example; AR model; parameter estimation; autoregressive models; white noise; conditional maximum likelihood method; maximum likelihood estimation; iterative method; numerical example
UR - http://eudml.org/doc/15593
ER -
References
top- G. E. P. Box G. M. Jenkins, Time Series Analysis: Forecasting and Control, Holden-Day, San Francisco 1970. (1970) MR0272138
- N. Davies T. Spedding W. Watson, Autoregressive moving average process with non-normal residueals, J. Time Series Anal. 2 (1980), 155-171. (1980)
- A. J. Lawrence P. A. W. Lewis, The exponential autoregressive moving - average EARMA process, J. Roy. Statist. Soc., B 42 (1980), 150-161, (1980) MR0583349
- R. D. Martin V. J. Yohai, Robustness in Time Series and Estimating ARMA Models, Proc. Handbook of Statistics 5 Time Series in the Time Domain, Elsevier, Amsterdam 1985. (1985) MR0831746
- R. L. Kashyap A. R. Rao, Dynamic Stochastic Models from Empirical Data, Academic Press, New York 1976. (1976)
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