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Proceedings of the National Academy of Sciences of the United States of America logoLink to Proceedings of the National Academy of Sciences of the United States of America
. 1993 Oct 1;90(19):9168–9170. doi: 10.1073/pnas.90.19.9168

Non-Gaussian autoregressive moving average processes.

K S Lii 1, M Rosenblatt 1
PMCID: PMC47523  PMID: 11607427

Abstract

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.

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