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)

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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

(6)

• Joint detection and estimation of the Yule-Furry processes
• A note on the asymptotic covariance matrix of the Yule-Walker estimator
• Asymptotic properties of some subset vector autoregressive process estimators
• scientific article; zbMATH DE number 8227 (Why is no real title available?)
• The bias of estimators of causal spatial autoregressive processes
• Yule-Walker estimation for the moving-average model

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