On the Statistical Treatment of Linear Stochastic Difference Equations

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Cited in

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Integrated functionals of normal and fractional processes
Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Parametric identification of transient electromagnetic systems
Asymptotic behavior of the logarithm of the likelihood function when the spectral density has polynomial zeros
Convergence of least squares learning mechanisms in self-referential linear stochastic models
The exact moments of OLS in dynamic regression models with non-normal errors
Nearly unstable AR models with coefficient matrices in Jordan normal form
On the asymptotic normality and independence of the sample partial autocorrelations for an autoregressive process
A comparative analysis of various least-squares identification algorithms
Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
Asymptotic properties of dynamic stochastic parameter estimates. III
The structure of simultaneous equations estimators
Asymptotic properties of autoregressive integrated moving average processes
Relative efficiencies of some simple Bayes estimators of coefficients in dynamic models. I
Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models
Least squares and stochastic difference equations
Consistency and asymptotic normality of least squares estimates used in linear systems identification
Adaptive estimates for autoregressive processes
Asymptotic properties of dynamic stochastic parameter estimates
On strong consistency of least squares identification algorithms
Parameter estimation for nearly nonstationary AR(1) processes
Asymptotic robustness of tests of overidentification and predeterminedness
Harmonizable processes and inference: Unbiased prediction for stochastic flows
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
On limiting distributions in explosive autoregressive processes
Adjusted estimates and Wald statistics for the AR(1) model with constant
The law of iterated logarithm for autoregressive processes
Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
Approximate solution methods for linear stochastic difference equations
Statistical outlier analysis in litigation support: The case of Paul F. Engler and Cactus Feeders, Inc., v. Oprah Winfrey et al
Maximum likelihood estimators in regression models with infinite variance innovations
Parameter estimation of random fields with long-range dependence
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
Hypothesis testing in a fractional Ornstein-Uhlenbeck model
The ARMA alphabet soup: a tour of ARMA model variants
On parameter estimation for critical affine processes
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
Functionals of complex Ornstein-Uhlenbeck processes.
Asymptotic properties of nearly unstable multivariate AR processes.
A novel approach to exponential stability in mean square of stochastic difference systems with delays
Estimation methods for stationary Gegenbauer processes
Asymptotic inference for \(\mathrm{AR}(1)\) panel data
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Periodogram ordinate: spatial model with near unit roots and dependent errors
Statistical inference for time series with non-precise data
Sequential fixed accuracy estimation for nonstationary autoregressive processes
Instability detection of ARMA systems based on AR system identification
Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
Approximate confidence sets for a stationary \(AR(p)\) process
Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
Random difference equations occurring in one-compartment models
On the use of a linear model for the identification of feedback systems
Power spectrum estimation through autoregressive model fitting
System identification. A survey
A useful central limit theorem for m-dependent variables
Autoregressive model fitting for control
High-dimensional VARs with common factors
Decomposition of an autoregressive process into first order processes
Least-squares tests of time-series,invention effects with and without autocorrelations
Writing ``the probability approach with nowhere to go: Haavelmo in the United States, 1939--1944
Statistical Methods for Stochastic Differential Equations
ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH
Convergence of least-squares dynamic system identification with finite-accuracy data
OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
A new estimator for the unit root
A UNIFIED APPROACH TO CONFIDENCE BOUNDS FOR THE AUTOREGRESSIVE SPECTRAL ESTIMATOR
scientific article; zbMATH DE number 4064318 (Why is no real title available?)
Regression with autoregressive errors-some asymptotic results
Consistent estimates of parameters in noisy dynamical systems†
Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction
Asymptotic results for polygonal processes related to an autoregression
Das Einfachheitspostulat in Wissenschaftstheorie und Ökonometrie
On the identifiability of linear dynamic systems
Estimation of upper bounds of errors in identifying autoregressive models
Inference in stochastic processes. II
Derivation of ARMA parameters and orders from pure AR models
Non-stationary parameter estimation for small sample situations: A comparison of methods
An order-testing criterion for mixed autoregressive moving average processes
Convergence of least squares parameter estimates of weakly stationary time series models driven by uncorrelated processes
Convergence of least squares identification algorithms applied to unstable stochastic processes
Mean-square convergence of least-squares identification of white-noise-driven time-series models
The asymptotic joint distribution of the estimated autoregressive coefficients
Estimating the order of moving average models: the max X²method
Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
Testing for dependence in the input to a linear time series model
Identification of predictor and filter parameters by ARMA methods†
A comparison of LS/ML and GMM estimation in a simple AR(1) model
Asymptotic inference for an unstable spatial AR model
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
On the covariance matrix estimators of the white noise process of a vector autoregressive model
A unified approach to asymptotic behaviors for the autoregressive model with fuzzy data
Trygve Haavelmo at the Cowles Commission

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