A bivariate uniform autoregressive process

Annals of the Institute of Statistical Mathematics

Volumn 55, Issue 4, 2003, Pages 797-802

  Ristić, Miroslav M ^a   Popović, Biljana Č ^a  

^a Faculty of Sciences and Mathematics

Author keywords

Autoco variance and autocorrelation matrix; Bivariate uniform autoregressive process; Estimation; First order; New uniform autoregressive process; Second order; Uniform autoregressive process

Indexed keywords

CORRELATION METHODS; DIFFERENCE EQUATIONS; HAMILTONIANS; MATHEMATICAL MODELS; MATRIX ALGEBRA; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; SET THEORY; THEOREM PROVING;

AUTOCOVARIANCE AND AUTOCORRELATION MATRIX; BIVARIATE UNIFORM AUTOREGRESSIVE PROCESS; FIRST-ORDER; NEW UNIFORM AUTOREGRESSIVE PROCESS; SECOND-ORDER; UNIFORM AUTOREGRESSIVE PROCESS;

REGRESSION ANALYSIS;

EID: 11144357032     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02523393     Document Type: Article

References (11)

1. Andel, J. (1991). On stationarity of a multiple doubly stochastic model, Kybernetika, 27, 114-119.
2. Brockwell, P. and Davis, R. (1987). Time Series: Theory and Methods, Springer-Verlag, New York.
3. Chernick, M. R. (1981). A limit theorem for the maximum of autoregressive processes with uniform marginal distributions, Ann. Probab., 9, 145-149.
4. Chernick, M. R. and Davis, R. A. (1982). Extremes in autoregressive processes with uniform marginal distributions, Statist. Probab. Lett., 1, 85-88.
5. Dewald, L. S., Lewis, P. A. W. and McKenzie, E. (1989). A bivariate first-order autoregressive time series model in exponential variables (BEAR(1)), Management Science, 35(10), 1236-1246.
6. Doob, J. L. (1953). Stochastic Processes, Wiley, New York.
7. Gaver, D. P. and Lewis, P. A. W. (1980). First-order autoregressive gamma sequences and point processes, Adv. Appl. Prob., 12, 727-745.
8. Lawrance, A. J. (1992). Uniformly distributed first-order autoregressive time series models and multiplicative congruential random number generators, J. Appl. Probab., 29, 896-903.
9. Nicholls, D. F. and Quinn, B. G. (1982). Random Coefficient Autoregressive Models: An Introduction, Springer-Verlag, Heidelberg.
10. Ristić, M. M. and Popović, B. Č. (2000a). A new uniform AR(1) time series model (NUAR(1)), Publ. de L' Inst. Math.-Beograd, 68(82), 145-152.
11. Ristić, M. M. and Popović, B. Č. (2000b). Parameter estimation for uniform autoregressive processes, Novi Sad J. Math., 30(1), 89-95.