THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS

DOI10.1081/STA-100002139MaRDI QIDQ4540609zbMATH OpenOpenAlexFDO

Authors ByoungSeon Choi

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-100002139

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic distribution of the Yule--Walker estimator for INAR(p) processes
• YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS
• The distribution of estimates of parameters of multidimensional stationary AR processes
• A note on the asymptotic covariance matrix of the Yule-Walker estimator
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• scientific article; zbMATH DE number 1111392

Cites work

• On the asymptotic distributions of mean, autocovariance, autocorrelation, crossgovariancb and impulse response estimators of a stationary multidimensional random field
• Parameter estimation for a stationary process on a d-dimensional lattice
• Statistical spatial series modelling
• The bias of estimators of causal spatial autoregressive processes

Cited in

(5)

• A note on the asymptotic covariance matrix of the Yule-Walker estimator
• Asymptotic properties of some subset vector autoregressive process estimators
• The bias of estimators of causal spatial autoregressive processes
• Joint detection and estimation of the Yule-Furry processes
• Yule-Walker estimation for the moving-average model

This page was built for publication: THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4540609)