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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1998 Volume 43, Issue 3, Pages 577–588 (Mi tvp1562)

This article is cited in 5 papers

Short Communications

Nonparametric identification of autoregressions

V. A. Vasil'ev, G. M. Koshkina

a Tomsk State Uneversity, Department of Applied Mathematics

Abstract: This paper considers the problem of constructing probability models for processes of an autoregressive type, which means estimating unknown parameters of processes and constructing one-step predictions of observations based on these estimates and reconstructing the limit probability density of prediction errors.

Keywords: kernel density estimators, dependent observations, autoregression, probability models, prediction.

Received: 09.04.1998

DOI: 10.4213/tvp1562


 English version:
Theory of Probability and its Applications, 1999, 43:3, 507–517

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