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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English	Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties	scientific article

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title

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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International Journal of Control

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publication date

1986

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zbMATH Keywords

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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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207178608933446

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cites work

Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency

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Finite sample properties of estimators for autoregressive moving average models

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A Monte Carlo study of autoregressive integrated moving average processes

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The exact distributions of the serial correlation coefficients and an evaluation on some approximate distributions

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Q3888403

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Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares

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Small-Sample Estimation of a Structural Equation with Autocorrelated Errors

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Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems

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The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables

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Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation

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A General Approximation to the Distribution of Instrumental Variables Estimates

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The exact moments of the least squares estimator for the autoregressive model

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Optimal instrumental variable estimation and approximate implementations

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Optimal instrumental variable estimates of the AR parameters of an ARMA process

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Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems

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Identifiers

zbMATH Open document ID

0596.93056

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DOI

10.1080/00207178608933446

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3728779

@@ Property / cites work @@
+Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
+Normal rank
@@ Property / cites work @@
+Finite sample properties of estimators for autoregressive moving average models
+Normal rank
@@ Property / cites work @@
+A Monte Carlo study of autoregressive integrated moving average processes
+Normal rank
@@ Property / cites work @@
+The exact distributions of the serial correlation coefficients and an evaluation on some approximate distributions
+Normal rank
@@ Property / cites work @@
+Q3888403
@@ Property / cites work: Q3888403 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
+Normal rank
@@ Property / cites work @@
+Small-Sample Estimation of a Structural Equation with Autocorrelated Errors
+Normal rank
@@ Property / cites work @@
+Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
+Normal rank
@@ Property / cites work @@
+The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
+Normal rank
@@ Property / cites work @@
+Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
+Normal rank
@@ Property / cites work @@
+A General Approximation to the Distribution of Instrumental Variables Estimates
+Normal rank
@@ Property / cites work @@
+The exact moments of the least squares estimator for the autoregressive model
+Normal rank
@@ Property / cites work @@
+Optimal instrumental variable estimation and approximate implementations
+Normal rank
@@ Property / cites work @@
+Optimal instrumental variable estimates of the AR parameters of an ARMA process
+Normal rank
@@ Property / cites work @@
+Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
+Normal rank