Celebratio Mathematica — Rosenblatt

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K.-S. Lii and M. Rosenblatt: “Nongaussian autoregressive sequences and random fields,” pp. 295–309 in Stochastic modelling in physical oceanography. Edited by R. J. Adler, P. Müller, and B. Rozovskii. Progress in Probability 39. Birkhäuser (Boston), 1996. MR 1383877 Zbl 0865.76075 incollection

In this paper we discuss estimation procedures for the parameters of autoregressive schemes. There is a large literature concerned with estimation in the one-dimensional Gaussian case. Much of our discussion will however be dedicated to the non-Gaussian context, some aspects of which have been considered only in recent years. Results have also at times been obtained in the broader context of autoregressive moving average schemes. We restrict ourselves to the case of autoregressive schemes for the sake of simplicity. Also they are the discrete analogue of simple versions of stochastic differential equations with constant coefficients. It is also apparent that non-Gaussian autoregressive stationary sequences have a richer and more complicated structure than that of the Gaussian autoregressive stationary sequences.

Boris L. Rozovskii	Related
Keh-Shin Lii	Related
Peter Müller	Related
Robert Joseph Adler	Related