AR(1) processes with given moments of marginal distribution

Jiří Anděl

Kybernetika (1989)

  • Volume: 25, Issue: 5, page 337-347
  • ISSN: 0023-5954

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Anděl, Jiří. "AR(1) processes with given moments of marginal distribution." Kybernetika 25.5 (1989): 337-347. <http://eudml.org/doc/27486>.

@article{Anděl1989,
author = {Anděl, Jiří},
journal = {Kybernetika},
keywords = {given moments of marginal distribution; simulation procedures; given covariance structure; finite interval; infinite interval; moment problem; exponential distribution; AR(1) process; strict white noise},
language = {eng},
number = {5},
pages = {337-347},
publisher = {Institute of Information Theory and Automation AS CR},
title = {AR(1) processes with given moments of marginal distribution},
url = {http://eudml.org/doc/27486},
volume = {25},
year = {1989},
}

TY - JOUR
AU - Anděl, Jiří
TI - AR(1) processes with given moments of marginal distribution
JO - Kybernetika
PY - 1989
PB - Institute of Information Theory and Automation AS CR
VL - 25
IS - 5
SP - 337
EP - 347
LA - eng
KW - given moments of marginal distribution; simulation procedures; given covariance structure; finite interval; infinite interval; moment problem; exponential distribution; AR(1) process; strict white noise
UR - http://eudml.org/doc/27486
ER -

References

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  2. J. Anděl, Marginal distributions of autoregressive processes, In: Trans. Ninth Prague Conf. on Inform. Theory, Statist. Dec. Functions, Random Processes, Academia, Prague 1983, pp. 127-135. (1983) MR0757732
  3. J. Anděl, On linear processes with given moments, J. Time Ser. Anal. 8 (1987), 373-378. (1987) MR0917790
  4. J. Anděl, M. Garrido, On stationary distributions of some time series models, In: Trans. Tenth Prague Conf. on Inform. Theory, Statist. Dec. Functions, Random Processes, Academia, Prague 1988, pp. 193-202. (1988) MR1136274
  5. J. Anděl, V. Dupač, An extension of the Borel lemma, Comment. Math. Univ. Carolin. 32 (1989), 405-407. (1989) MR1014141
  6. J. Anděl, K. Zvára, Simulation methods in time series, In: Proc. 2nd Internat. Symp. on Numerical Analysis, Prague 1987 (I. Marek, ed.). Teubner-Texte zur Mathematik 107, Teubner, Leipzig 1988, pp. 99-113. (1987) MR1171693
  7. G. P. Chamitov, Imitacija slučajnych processov, Izd. Irkutskogo instituta narodnogo chozjajstva, Irkutsk 1983. (1983) 
  8. D. P. Gaver, P. A. W. Lewis, First-order autoregressive gamma sequences and point processes, Adv. Appl. Probab. 12 (1980), 727-745. (1980) Zbl0453.60048MR0578846
  9. M. T. Krejn, A. A. Nudelman, Problema momentov Markova i ekstremalnyje zadači, Izd. Nauka, Moskva 1973. (1973) MR0445244
  10. M. T. Krein, A. A. Nudelman, The Markov Moment Problem and Extremal Problems, (Transl. of Math. Monographs, Vol. 50.) American Mathematical Society, Providence 1977. (1977) MR0458081
  11. A. J. Lawrance, P. A. W. Lewis, Modelling and residual analysis of nonlinear autoregressive time series in exponential variables, J. Roy. Statist. Soc. Ser. B 47 (1985), 165-202. (1985) Zbl0579.62075MR0816083
  12. J. S. Ramberg E. J. Dudewicz P. R. Tadikamalla, E. F. Mykytka, A probability distribution and its uses in fitting data, Technometrics 21 (1979), 201-214. (1979) 
  13. M. M. Sondhi, Random processes with specified spectral density and first-order probability density, Bell System Technical J. 62 (1983), 679-701. (1983) 

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