The uniform autoregressive process of the second order (UAR(2))

DOI10.1016/S0167-7152(02)00053-6zbMath0996.62084MaRDI QIDQ1613047

Biljana Č. Popović, Miroslav M. Ristić

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitystrong consistencyconditional least squares estimationuniform autoregressive process of second order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

On anAr(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution ⋮ Entropy invariance for autoregressive processes constructed by linear filtering ⋮ On a Class of Time Series Model with Double Lindley Distribution as Marginals ⋮ A Beta-Gamma autoregressive process of the second-order (BGAR(2)) ⋮ On mixed \(AR(1)\) time series model with approximated beta marginal ⋮ Lindley first-order autoregressive model with applications

Cites Work

• Time series: theory and methods
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• Extremes in autoregressive processes with uniform marginal distributions
• The Lindeberg-Levy Theorem for Martingales
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