The uniform autoregressive process of the second order (UAR(2))
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 57 (2002)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- 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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