Uniformly distributed first-order autoregressive time series models and multiplicative congruential random number generators

DOI10.2307/3214722zbMath0761.62120OpenAlexW2335779318MaRDI QIDQ4031663

Anthony J. Lawrance

Publication date: 1 April 1993

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214722

zbMATH Keywords

time seriesphase diagramsreversibilitymoving-average processmultiplicative congruential random number generatorschaotic processdiscrete processfirst-order linear autoregressive processfirst-order recursion functionrectangular stationary marginal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of dynamical systems (37N99) Random number generation in numerical analysis (65C10)

Related Items (6)

A bivariate uniform autoregressive process ⋮ Characterization of autoregressive processes using entropic quantifiers ⋮ STATISTICAL DEPENDENCY IN CHAOS ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Nonparametric density estimation for nonmixing approximable stochastic processes ⋮ Reverse chaos may not be a curseexamples of stationary reverse chaotic sequences whose density can be estimated with optimal i.i.d. rate

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