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Inference for non-negative autoregressive schemes. (English) Zbl 0604.62087
The object of this paper is the statistical analysis of several closely related models arising in water quality analysis. In particular, concern is with the autoregressive scheme \(X_ r=\rho X_{r-1}+Y_ r\) where \(0<\rho <1\) and Y’s are i.i.d. and non-negative. The estimation and testing problem is considered for three parametric models - Gaussian, uniform and exponential - as well as for the nonparametric case where it is assumed that the Y’s have a positive continuous distribution.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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