Nonminimum phase non-Gaussian autoregressive processes.
The structure of non-Gaussian autoregressive schemes is described. Asymptotically efficient 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.
Breidt
F J
FJ
Department of Statistics, Colorado State University, Fort Collins, CO 80523, USA.
Davis
R A
RA
Lii
K S
KS
Rosenblatt
M
M