On the Statistical Inference of a Machine-generated Autoregressive AR(1) Model

DOI10.1111/1467-9868.00154MaRDI QIDQ4214256zbMATH OpenOpenAlexFDO

Authors Jean-Pierre Stockis, Howell Tong

Publication date 11 April 1999

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9868.00154

zbMATH Keywords

absolute regularityautoregressive modelsBernoulli shiftcentral limit theoremchaotic mapsmixingpseudorandom numbersU-statisticsYule-Walker estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random number generation in numerical analysis (65C10)

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Cited in

(3)

• On the Application of Algorithmic Probability to Autoregressive Models
• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
• Testing a Unit Root Based on Aggregate Time Series

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