Distributed lag approximation to linear time-invariant systems

DOI10.1214/aos/1176344672zbMath0407.62070OpenAlexW1979778521MaRDI QIDQ1258156

Peter M. Robinson

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/1176344672

zbMATH Keywords

ApproximationTime SeriesConsistent EstimatesConvergence of Sample AutocovariancesInfinite Distributed Lag SystemLinear Time-Invariant SystemsTruncated System

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension ⋮ Autoregressive spatial spectral estimates ⋮ Nonparametric specification testing via the trinity of tests ⋮ Time-domain estimation of time-varying linear systems ⋮ Order Selection and Inference with Long Memory Dependent Data ⋮ Inference on higher-order spatial autoregressive models with increasingly many parameters ⋮ Consistent order selection with strongly dependent data and its application to efficient estimation. ⋮ TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION ⋮ A bootstrap causality test for covariance stationary processes

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