On a distributional bound arising in autoregressive model fitting
DOI10.2307/3215033zbMATH Open0798.62091OpenAlexW4235816182MaRDI QIDQ4305643FDOQ4305643
Authors: F. Papangelou 
Publication date: 8 November 1994
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215033
Recommendations
- Approximation for the conditional distribution of the MLE with application to autoregression
- APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
- Variance bounds for estimators in autoregressive models with constraints
- A characterization of limiting distributions of estimators in an autoregressive process
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process
momentsergodic theoremsnormsautoregressive model fittinglarge sample sizeinverse sample covariance matricesuniform boundedness results
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) (L^p)-limit theorems (60F25)
Cited In (7)
- Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
- On same-realization prediction in an infinite-order autoregressive process.
- AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
- Multistep prediction in autoregressive processes
- Variance bounds for estimators in autoregressive models with constraints
- Efficient and consistent model selection procedures for time series
- Uniform moment bounds of Fisher's information with applications to time series
This page was built for publication: On a distributional bound arising in autoregressive model fitting
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4305643)
