Asymptotic normality of autoregressive processes (Q970502): Difference between revisions
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Revision as of 01:47, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic normality of autoregressive processes |
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Asymptotic normality of autoregressive processes (English)
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19 May 2010
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Using an approximation method along with a central limit theorem for \(m\)-dependent random variables, this paper prove an asymptotic normality for autoregressive processes, and provide the central limit theorems of the least square estimate and the Yule-Walker estimate of the parameters of an autoregressive process.
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asymptotic normality
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autoregressive processes
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least squares estimator
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Yule-Walker estimator
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