A note on the asymptotic covariance matrix of the Yule-Walker estimator

DOI10.1016/0167-7152(89)90019-9MaRDI QIDQ1263209zbMATH OpenOpenAlexFDO

Authors Keith Knight

Publication date 1989

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(89)90019-9

zbMATH Keywords

asymptotic covariance matrix of the Yule-Walker estimator ofasymptotic covariance matrix of the Yule-Walker estimator of autoregressive parametersautoregressive parametersdomain of attraction of a stable lawsymmetric distribution

Mathematics Subject Classification ID

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

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Cites work

• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Autoregressive processes with infinite variance
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Limit distributions of self-normalized sums
• Limit theory for the sample covariance and correlation functions of moving averages
• More limit theory for the sample correlation function of moving averages
• Time series: theory and methods

Cited in

(7)

• Bemerkung zur Lösung der Yule-Walker-Gleichungen. (Remarks on the solution of the Yule-Walker equations)
• scientific article; zbMATH DE number 8227 (Why is no real title available?)
• On the Statistical Inference of a Machine-generated Autoregressive AR(1) Model
• THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS
• Hurwicz's estimator of the autoregressive model with non-normal innovations
• A relationship between the Yule-Walker and the maximum likelihood estimators of the AR(1) coefficient
• Large deviations for the Yule-Walker estimator of near critical autoregressive processes

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