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NOTES

Some Results on Non stationary First Order Autoregression

Pages 321-322 | Published online: 09 Apr 2012

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M. Shelton Peiris. (1988) On the prediction of multivariate arma processes with a time dependent covariance structure. Communications in Statistics - Theory and Methods 17:1, pages 27-37.
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A. Bustos & M. Ahsanullah. (1984) On the estimates of the parameters of the first order autoregressive process. Communications in Statistics - Simulation and Computation 13:4, pages 489-505.
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WayneA. Fuller & DavidP. Hasza. (1981) Properties of Predictors for Autoregressive Time Series. Journal of the American Statistical Association 76:373, pages 155-161.
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Edward J. Wegman, El-Sayed Nour & Cris Kukuk. (1980) A time series approach to life table construction. Communications in Statistics - Theory and Methods 9:15, pages 1587-1607.
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O.D. Anderson. (1976) The Editor Technometrics. Technometrics 18:2, pages 245-245.
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Wolf-Dieter Schuh, Korte Johannes, Schubert Till & Brockmann Jan Martin. 2023.
Rajae Azrak & Guy Mélard. (2022) Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches. Stats 5:3, pages 784-804.
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Rajae Azrak & Guy Mélard. (2006) Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients. Statistical Inference for Stochastic Processes 9:3, pages 279-330.
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A. Thavaneswaran & S. Peiris. (1999) Estimation for regression with infinite variance errors. Mathematical and Computer Modelling 29:10-12, pages 177-180.
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Wayne A. Fuller. 1995. Introduction to Statistical Time Series. Introduction to Statistical Time Series 664 688 .
Marc Hallin. (2016) Non-stationary q -dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem . Advances in Applied Probability 18:1, pages 170-210.
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Wayne A. Fuller. 1985. Time Series in the Time Domain. Time Series in the Time Domain 1 23 .

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