Asymptotic properties of some subset vector autoregressive process estimators

DOI10.1016/J.JMVA.2003.10.001MaRDI QIDQ1882943zbMATH OpenOpenAlexFDO

Authors Peter J. Brockwell, Richard A. Davis, A. Alexandre Trindade

Publication date 1 October 2004

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2003.10.001

zbMATH Keywords

MartingaleLeast squaresRecursive algorithmBurgSubset modelingYule--Walker

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cites work

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Cited in

(2)

• Practical small sample inference for single lag subset autoregressive models
• scientific article; zbMATH DE number 2148870 (Why is no real title available?)

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• bdt

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