Voir la notice de l'article provenant de la source Czech Digital Mathematics Library
Anděl, Jiří. AR(1) processes with given moments of marginal distribution. Kybernetika, Tome 25 (1989) no. 5, pp. 337-347. http://geodesic.mathdoc.fr/item/KYB_1989_25_5_a0/
@article{KYB_1989_25_5_a0,
author = {And\v{e}l, Ji\v{r}{\'\i}},
title = {AR(1) processes with given moments of marginal distribution},
journal = {Kybernetika},
pages = {337--347},
year = {1989},
volume = {25},
number = {5},
mrnumber = {1024709},
zbl = {0701.62087},
language = {en},
url = {http://geodesic.mathdoc.fr/item/KYB_1989_25_5_a0/}
}
[1] N. I. Achiezer: Klassičeskaja problema momentov i nekotoryje voprosy analiza svjazannyje s neju. Gos. izd. fiz.-mat. lit., Moskva 1961.
[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. | MR
[3] J. Anděl: On linear processes with given moments. J. Time Ser. Anal. 8 (1987), 373-378. | MR
[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. | MR
[5] J. Anděl, V. Dupač: An extension of the Borel lemma. Comment. Math. Univ. Carolin. 32 (1989), 405-407. | MR
[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. | MR
[7] G. P. Chamitov: Imitacija slučajnych processov. Izd. Irkutskogo instituta narodnogo chozjajstva, Irkutsk 1983.
[8] D. P. Gaver, P. A. W. Lewis: First-order autoregressive gamma sequences and point processes. Adv. Appl. Probab. 12 (1980), 727-745. | MR | Zbl
[9] M. T. Krejn, A. A. Nudelman: Problema momentov Markova i ekstremalnyje zadači. Izd. Nauka, Moskva 1973. | MR
[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. | MR
[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. | MR | Zbl
[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.
[13] M. M. Sondhi: Random processes with specified spectral density and first-order probability density. Bell System Technical J. 62 (1983), 679-701.