BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
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Publication:3497073
DOI10.1111/j.1467-9892.1990.tb00056.xzbMath0711.62073MaRDI QIDQ3497073
Publication date: 1990
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00056.x
innovations; bias; least-squares estimation; martingale difference sequence; modified Yule-Walker estimators; multivariate autoregression of arbitrary order
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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