Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties (Q3728779)
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scientific article; zbMATH DE number 3961470
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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; zbMATH DE number 3961470 |
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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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0.7538850903511047
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0.7532708644866943
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0.7509289979934692
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0.747776985168457
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