Moments of AR(k) Parameter Estimators

DOI10.1080/03610918.2013.813036zbMATH Open1325.62173OpenAlexW1976125560MaRDI QIDQ5259165FDOQ5259165

Jan Vrbik

Publication date: 24 June 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.813036

zbMATH Keywords

cumulantsautoregressive modelsestimatorsEdgeworth series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS

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• Eulerian polynomials and Quasi-Birth-Death processes with time-varying-periodic rates
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Moments of the ARMA–EGARCH model

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