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

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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 
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     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},
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     zbl = {0694.65075},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.1989.104367/}
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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

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