A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise

DOI10.1214/aos/1176344671zbMath0406.62068OpenAlexW2024500837MaRDI QIDQ1257752

William T. M. Dunsmuir

Publication date: 1979

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176344671

zbMATH Keywords

Central Limit TheoremParameter EstimationLinear ProcessesPrediction TheoryStationary Ergodic Nondeterministic Vector Time SeriesStationary Vector Noise

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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