Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series

DOI10.1109/TASSP.1985.1164702zbMATH Open0625.62075MaRDI QIDQ3028142FDOQ3028142

Authors: Donald F. Gingras 

Publication date: 1985

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

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zbMATH Keywords

normalasymptotically unbiasedautoregressive moving-average time serieshigh-order Yule-Walker equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (7)

• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• New insights into the high-order Yule-Walker equations
• Title not available (Why is that?)
• Asymptotic properties of the high-order Yule-Walker estimates of sinusoidal frequencies
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• An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)

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