Parameter estimation for uniform autoregressive processes


Miroslav Ristić, Biljana Popović




Chemick [2] and Chemick and Davis [3] have described the stationary uniform first-order autoregressive processes with positive and negative lag one autocorrelation function, respectively. In this paper, we discuss some properties of these processes. We also apply some estimation methods to estimate the parameters of these processes. It is shown that the conditional least squares estimators are strongly consistent and asymptotically normal.