×

Nongaussian autoregressive sequences and random fields. (English) Zbl 0865.76075

Adler, Robert J. (ed.) et al., Stochastic modelling in physical oceanography. Boston, MA: Birkhäuser. Prog. Probab. 39, 295-309 (1996).
We discuss estimation procedures for the parameters of autoregressive schemes. Much of our discussion will be dedicated to the nongaussian context, some aspects of which have been considered only in recent years. Results have also at times been obtained in the broader context of autoregressive moving average schemes. We restrict ourselves to the case of autoregressive schemes for the sake of simplicity. They are the discrete analogue of simple versions of stochastic differential equations with constant coefficients. We show that nongaussian autoregressive stationary sequences have a richer and more complicated structure than that of the Gaussian autoregressive stationary sequences.
For the entire collection see [Zbl 0836.00049].

MSC:

76M35 Stochastic analysis applied to problems in fluid mechanics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
PDFBibTeX XMLCite