Yule-Walker estimation of a CAR\((p)\) observed at discrete times (Q1863440)
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scientific article; zbMATH DE number 1879953
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| English | Yule-Walker estimation of a CAR\((p)\) observed at discrete times |
scientific article; zbMATH DE number 1879953 |
Statements
Yule-Walker estimation of a CAR\((p)\) observed at discrete times (English)
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11 March 2003
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continuous autoregressive model of order p
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Gaussian diffusions
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Yule-Walker equation
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biased estimation
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asymptotic normality
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asymptotic efficiency
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0.7957280278205872
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0.7957279682159424
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0.7530304193496704
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0.7497471570968628
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