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

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.
Year of publication:
2002
Authors: Ristic, Miroslav M. ; Popovic, Biljana C.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 57.2002, 2, p. 113-119
Publisher: Elsevier
Keywords: Uniform autoregressive process of the second order Conditional least squares estimation Strong consistency Asymptotic normality
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319790
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