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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
. 1990 Jan;87(1):179–181. doi: 10.1073/pnas.87.1.179

Nonminimum phase non-Gaussian autoregressive processes.

F J Breidt 1, R A Davis 1, K S Lii 1, M Rosenblatt 1
PMCID: PMC53224  PMID: 11607051

Abstract

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.

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