The distribution of estimates of parameters of multidimensional stationary AR processes

DOI10.1016/0898-1221(94)90033-7zbMath0791.62085OpenAlexW2035207958MaRDI QIDQ1324380

Gyula Pap

Publication date: 20 July 1994

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(94)90033-7

zbMATH Keywords

normal distributionRadon-Nikodym derivativeIto's formulacomplex- valued stationary autoregressive processLevy's stochastic area processmultidimensional stationary AR processesnormalized maximum likelihood estimatesperiodical parametersstandard complex Wiener process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Exact distribution theory in statistics (62E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Large deviations and functional iterated logarithm law for diffusion processes
• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
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