Asymptotic normality of autoregressive processes (Q970502)
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scientific article; zbMATH DE number 5709133
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| English | Asymptotic normality of autoregressive processes |
scientific article; zbMATH DE number 5709133 |
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Asymptotic normality of autoregressive processes (English)
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19 May 2010
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Using an approximation method along with a central limit theorem for \(m\)-dependent random variables, this paper prove an asymptotic normality for autoregressive processes, and provide the central limit theorems of the least square estimate and the Yule-Walker estimate of the parameters of an autoregressive process.
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asymptotic normality
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autoregressive processes
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least squares estimator
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Yule-Walker estimator
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0.812582790851593
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0.7994790077209473
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0.7978314757347107
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