64 citations · 71 across the 2 of their papers we have counts for
2 papers
math.ST2008★ 7 cited
Nonparametric estimation for an autoregressive model
Ouerdia Arkoun, Serguei Pergamenchtchikov
The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are propo…
math.PR2004★ 64 cited
The tail of the stationary distribution of a random coefficient AR(q) model
Claudia Kluppelberg, Serguei Pergamenchtchikov
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a p…