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

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  • Ristic, Miroslav M.
  • Popovic, Biljana C.

Abstract

We introduce a stationary uniform autoregressive process of second order. Spectral density, autocovariance and autocorrelation functions are derived. The unknown parameters of this model are estimated by the conditional least squares.

Suggested Citation

  • Ristic, Miroslav M. & Popovic, Biljana C., 2002. "The uniform autoregressive process of the second order (UAR(2))," Statistics & Probability Letters, Elsevier, vol. 57(2), pages 113-119, April.
    • Handle: RePEc:eee:stapro:v:57:y:2002:i:2:p:113-119
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    References listed on IDEAS

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    1. Chernick, Michael R. & Davis, Richard A., 1982. "Extremes in autoregressive processes with uniform marginal distributions," Statistics & Probability Letters, Elsevier, vol. 1(2), pages 85-88, November.
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