Estimation of the mean of multivariate AR processes

DOI10.1016/S0898-1221(01)00315-7MaRDI QIDQ1609132zbMATH OpenOpenAlexFDO

Authors R. Smith, Mátyás Arató, Gyula Pap, Katalin Varga

Publication date 15 August 2002

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0898-1221(01)00315-7

zbMATH Keywords

autoregressive processesmaximum likelihood estimatorweak stationarityWiener process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(11)

• The distribution of estimates of parameters of multidimensional stationary AR processes
• A trimmed mean of location of an AR\((\infty)\) stationary process
• Discussion on: ``Variance properties of a two-step ARX estimation procedure
• On the estimation of the mean of weakly stationary and polynomial weakly stationary sequences
• Period estimation of process with autoregressive representation
• Efficiencies of Weighted Averages in Stationary Autoregressive Processes
• scientific article; zbMATH DE number 4072199 (Why is no real title available?)
• scientific article; zbMATH DE number 2123868 (Why is no real title available?)
• Multiscale statistical signal processing: identification of a multiscale AR process from a sample of an ordinary signal
• Estimation of the mean of spatial autoregressive processes in Banach space
• On maximum likelihood estimation of the drift matrix of a degenerated O-U process

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