Geodesic
AR models with uniformly distributed noise
Applications of Mathematics, Tome 34 (1989) no. 5, pp. 396-401.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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.
DOI : 10.21136/AM.1989.104367
Classification : 62M10, 65C99, 65U05
Keywords: parameter estimation; autoregressive models; white noise; conditional maximum likelihood method; maximum likelihood estimation; iterative method; numerical example; AR model 
@article{10_21136_AM_1989_104367,
     author = {Horv\'ath, Michal},
     title = {AR models with uniformly distributed noise},
     journal = {Applications of Mathematics},
     pages = {396--401},
     publisher = {mathdoc},
     volume = {34},
     number = {5},
     year = {1989},
     doi = {10.21136/AM.1989.104367},
     mrnumber = {1014080},
     zbl = {0694.65075},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104367/}
}
TY  - JOUR
AU  - Horváth, Michal
TI  - AR models with uniformly distributed noise
JO  - Applications of Mathematics
PY  - 1989
SP  - 396
EP  - 401
VL  - 34
IS  - 5
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104367/
DO  - 10.21136/AM.1989.104367
LA  - en
ID  - 10_21136_AM_1989_104367
ER  - 
%0 Journal Article
%A Horváth, Michal
%T AR models with uniformly distributed noise
%J Applications of Mathematics
%D 1989
%P 396-401
%V 34
%N 5
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104367/
%R 10.21136/AM.1989.104367
%G en
%F 10_21136_AM_1989_104367
Horváth, Michal. AR models with uniformly distributed noise. Applications of Mathematics, Tome 34 (1989) no. 5, pp. 396-401. doi : 10.21136/AM.1989.104367. http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104367/

Cité par Sources :