Geodesic
Nonparametric identification of autoregressions
Teoriâ veroâtnostej i ee primeneniâ, Tome 43 (1998) no. 3, pp. 577-588

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This paper considers the problem of constructing probability models for processes of an autoregressive type, which means estimating unknown parameters of processes and constructing one-step predictions of observations based on these estimates and reconstructing the limit probability density of prediction errors.
Keywords: kernel density estimators, dependent observations, probability models, prediction.
Mots-clés : autoregression 
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     author = {V. A. Vasil'ev and G. M. Koshkin},
     title = {Nonparametric identification of autoregressions},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {577--588},
     publisher = {mathdoc},
     volume = {43},
     number = {3},
     year = {1998},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1998_43_3_a8/}
}
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V. A. Vasil'ev; G. M. Koshkin. Nonparametric identification of autoregressions. Teoriâ veroâtnostej i ee primeneniâ, Tome 43 (1998) no. 3, pp. 577-588. http://geodesic.mathdoc.fr/item/TVP_1998_43_3_a8/