Nonminimum Phase Non-Gaussian Autoregressive Processes

摘要

The structure of non-Gaussian autoregressive schemes is described. Asymptoticallyefficient methods for the estimation of the coefficients of the models are described under appropriate conditions, some of which relate to smoothness and positivity of the density function f of the independent random variables generating the process. The principal interest is in nonminimum phase models. Keywords: reprint. (kr)