Non-Gaussian autoregressive moving average processes.
Non-Gaussian stationary autoregressive moving average sequences are considered. Under conditions concerning smoothness and positivity of the density function of the independent random variables generating the sequence, asymptotically efficient methods for the estimation of unknown coefficients of the model are described. The main interest is in nonminimum-phase models.
Lii
K S
KS
Department of Statistics, University of California, Riverside, CA 92521, USA.
Rosenblatt
M
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