Moments of AR(k) Parameter Estimators

DOI10.1080/03610918.2013.813036MaRDI QIDQ5259165zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Moments of AR(1)-Model Estimators
• scientific article; zbMATH DE number 5836033
• scientific article; zbMATH DE number 4001262
• scientific article; zbMATH DE number 1782379
• scientific article; zbMATH DE number 3915473
• scientific article; zbMATH DE number 822170
• The distribution of estimates of parameters of multidimensional stationary AR processes
• Moment estimator for an AR(1) model driven by a long memory Gaussian noise
• Moments of the ARMA–EGARCH model
• Publication:3479413

Cites work

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

Cited in

(6)

• Moments of AR(1)-Model Estimators
• scientific article; zbMATH DE number 5836033 (Why is no real title available?)
• scientific article; zbMATH DE number 4001262 (Why is no real title available?)
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Moments of the ARMA–EGARCH model
• Eulerian polynomials and quasi-birth-death processes with time-varying-periodic rates

This page was built for publication: Moments of AR(k) Parameter Estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5259165)