| Title:
|
AR(1) processes with given moments of marginal distribution (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
25 |
| Issue:
|
5 |
| Year:
|
1989 |
| Pages:
|
337-347 |
| . |
| Category:
|
math |
| . |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0701.62087 |
| idMR:
|
MR1024709 |
| . |
| Date available:
|
2009-09-24T18:13:06Z |
| Last updated:
|
2012-06-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124331 |
| . |
| Reference:
|
[1] N. I. Achiezer: Klassičeskaja problema momentov i nekotoryje voprosy analiza svjazannyje s neju.Gos. izd. fiz.-mat. lit., Moskva 1961. |
| Reference:
|
[2] J. Anděl: Marginal distributions of autoregressive processes.In: Trans. Ninth Prague Conf. on Inform. Theory, Statist. Dec. Functions, Random Processes, Academia, Prague 1983, pp. 127-135. MR 0757732 |
| Reference:
|
[3] J. Anděl: On linear processes with given moments.J. Time Ser. Anal. 8 (1987), 373-378. MR 0917790 |
| Reference:
|
[4] J. Anděl, M. Garrido: On stationary distributions of some time series models.In: Trans. Tenth Prague Conf. on Inform. Theory, Statist. Dec. Functions, Random Processes, Academia, Prague 1988, pp. 193-202. MR 1136274 |
| Reference:
|
[5] J. Anděl, V. Dupač: An extension of the Borel lemma.Comment. Math. Univ. Carolin. 32 (1989), 405-407. MR 1014141 |
| Reference:
|
[6] J. Anděl, K. Zvára: Simulation methods in time series.In: Proc. 2nd Internat. Symp. on Numerical Analysis, Prague 1987 (I. Marek, ed.). Teubner-Texte zur Mathematik 107, Teubner, Leipzig 1988, pp. 99-113. MR 1171693 |
| Reference:
|
[7] G. P. Chamitov: Imitacija slučajnych processov.Izd. Irkutskogo instituta narodnogo chozjajstva, Irkutsk 1983. |
| Reference:
|
[8] D. P. Gaver, P. A. W. Lewis: First-order autoregressive gamma sequences and point processes.Adv. Appl. Probab. 12 (1980), 727-745. Zbl 0453.60048, MR 0578846 |
| Reference:
|
[9] M. T. Krejn, A. A. Nudelman: Problema momentov Markova i ekstremalnyje zadači.Izd. Nauka, Moskva 1973. MR 0445244 |
| Reference:
|
[10] M. T. Krein, A. A. Nudelman: The Markov Moment Problem and Extremal Problems.(Transl. of Math. Monographs, Vol. 50.) American Mathematical Society, Providence 1977. MR 0458081 |
| Reference:
|
[11] A. J. Lawrance, P. A. W. Lewis: Modelling and residual analysis of nonlinear autoregressive time series in exponential variables.J. Roy. Statist. Soc. Ser. B 47 (1985), 165-202. Zbl 0579.62075, MR 0816083 |
| Reference:
|
[12] J. S. Ramberg E. J. Dudewicz P. R. Tadikamalla, E. F. Mykytka: A probability distribution and its uses in fitting data.Technometrics 21 (1979), 201-214. |
| Reference:
|
[13] M. M. Sondhi: Random processes with specified spectral density and first-order probability density.Bell System Technical J. 62 (1983), 679-701. |
| . |
