AR models with uniformly distributed noise
Horváth, Michal
Applications of Mathematics, Tome 34 (1989), p. 396-401 / Harvested from Czech Digital Mathematics Library
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AR models are frequently used but usually with normally distributed white noise. In this paper AR model with uniformly distributed white noise are introduces. The maximum likelihood estimation of unknown parameters is treated, iterative method for the calculation of estimates is presented. A numerical example of this procedure and simulation results are also given.

Publié le : 1989-01-01
Classification:  62M10,  65C99,  65U05 
@article{104367,
     author = {Michal Horv\'ath},
     title = {AR models with uniformly distributed noise},
     journal = {Applications of Mathematics},
     volume = {34},
     year = {1989},
     pages = {396-401},
     zbl = {0694.65075},
     mrnumber = {1014080},
     language = {en},
     url = {http://dml.mathdoc.fr/item/104367}
}

Horváth, Michal. AR models with uniformly distributed noise. Applications of Mathematics, Tome 34 (1989) pp. 396-401. http://gdmltest.u-ga.fr/item/104367/

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