Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties

DOI10.1080/00207178608933446MaRDI QIDQ3728779zbMATH OpenOpenAlexFDO

Authors Petre Stoica, Benjamin Friedlander, Torsten Söderström

Publication date 1986

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178608933446

zbMATH Keywords

least squares solutionsmall sample performanceautoregressive processesMonte Carlo techniqueasymptotic estimates of the variance

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 3694447 (Why is no real title available?)
• A General Approximation to the Distribution of Instrumental Variables Estimates
• A Monte Carlo study of autoregressive integrated moving average processes
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Finite sample properties of estimators for autoregressive moving average models
• Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Optimal instrumental variable estimation and approximate implementations
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Small-Sample Estimation of a Structural Equation with Autocorrelated Errors
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• The exact distributions of the serial correlation coefficients and an evaluation on some approximate distributions
• The exact moments of the least squares estimator for the autoregressive model

Cited in

(3)

• Comparison of total least squares and instrumental variable methods for parameter estimation of transfer function models
• Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series
• On finite sample statistics for Yule-Walker estimates

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