Estimation of the distribution function of noise in stationary processes

DOI10.1007/BF02613623zbMath0735.62085OpenAlexW2021335204MaRDI QIDQ1179289

Jens-Peter Kreiss

Publication date: 26 June 1992

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176361

zbMATH Keywords

Brownian bridgegoodness-of-fit testsautoregressive moving average processempirical distribution function of estimated innovationslinear and stationary stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Order statistics; empirical distribution functions (62G30)

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Cites Work

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• On adaptive estimation in stationary ARMA processes
• Estimation of the Distribution of Noise in an Autoregression Scheme

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