Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties (Q3728779): Difference between revisions
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Revision as of 18:34, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties |
scientific article |
Statements
Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties (English)
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1986
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autoregressive processes
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small sample performance
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Monte Carlo technique
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asymptotic estimates of the variance
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least squares solution
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