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Stationary discrete autoregressive-moving average time series generated by mixtures. (English) Zbl 0526.62084


MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation

Software:

LLRANDOM
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Full Text: DOI

References:

[1] Bhat U. N., Elements of Applied Stochastic Processes (1972) · Zbl 0236.60001
[2] Buishand T. A., The Binary DARMA (1, 1) Process as a Model for Wet-Dry Sequences (1978)
[3] Doob J. L., Stochastic Processes (1953)
[4] Jacobs P. A., J. R. Statist. Soc. 40 pp 94– (1978)
[5] Jacobs P. A., J. R. Statist. Soc. 40 pp 222– (1978)
[6] P. A. Jacobs, and P. A. W. Lewis (1978 ) Discrete Time Series Generated by Mixtures III: Autoregressive Processes (DAR (p)) . Naval Postgraduate School Technical Report NPS55-78-022.
[7] G. P. Learmonth, and P. A. W. Lewis (1973 ) Naval Postgraduate School Random Number Generator Package. LLRANDOM. Naval Postgraduate School Technical Report NPS55Lw 73061A.
[8] Learmonth G. P., Proc. Seventh Conference on Computer Science and Statistics (1974)
[9] Lewis P. A. W., IBM Systems Journal 8 pp 136– (1969)
[10] B. Lindqvist (1978 ) A Model for Multinomial Trials with Dependence. Statistical Research Report, Institute of Mathematics, University of Oslo. · Zbl 0388.62078
[11] DOI: 10.2307/3213025 · Zbl 0428.60082 · doi:10.2307/3213025
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