Asymptotic normality of cross-correlogram estimates of the response function

DOI10.1023/B:SISP.0000016454.89610.35zbMATH Open1139.62323OpenAlexW2019157161MaRDI QIDQ2481685FDOQ2481685

Authors: V. V. Buldygin, Frederic Utzet, Vladimir Zaiats 

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

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Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Cited In (15)

• Cross-correlogram estimators of impulse response functions
• Correlogram estimation of response functions of linear systems in scheme of some independent samples
• On asymptotic behaviour of the error term in cross-correlogram estimation of response functions in linear systems
• Statistical inference using higher-order information
• Title not available (Why is that?)
• On statistical properties of the estimator of impulse response function
• Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model
• Title not available (Why is that?)
• Integrals involving cyclic products of kernels and asymptotic normality of cross-correlogram estimates of the response function
• 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 cross-correlogram estimators of the response function in continuous linear systems from discrete observations
• On asymptotic behaviour of cross-correlogram estimators of response functions in linear Volterra systems
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• Statistical hypothesis testing for the shape of impulse response function

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