Non-Gaussian autoregressive moving average processes.
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- Record sourced from PubMed, PMID 11607427.
- Also identified by PMC identifier 47523.
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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.