Asymptotic normality of cross-correlogram estimates of the response function
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Publication:2481685
DOI10.1023/B:SISP.0000016454.89610.35zbMath1139.62323OpenAlexW2019157161MaRDI QIDQ2481685
Frederic Utzet, Vladimir Zaiats, V. V. Buldygin
Publication date: 15 April 2008
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:sisp.0000016454.89610.35
Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99)
Related Items (6)
Statistical inference using higher-order information ⋮ On cross-correlogram IRF’s estimators of two-output systems in spaces of continuous functions ⋮ Estimation of impulse response functions in two-output systems ⋮ On statistical properties of the estimator of impulse response function ⋮ Cross-correlogram estimators of impulse response functions ⋮ Statistical hypothesis testing for the shape of impulse response function
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