YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS

DOI10.1111/J.1467-9892.1993.TB00145.XzbMATH Open0771.62070OpenAlexW2045774547MaRDI QIDQ5285835FDOQ5285835

Authors: Rob J. Hyndman 

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00145.x

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zbMATH Keywords

maximum likelihood estimatorsautocovariance functionleast squares estimatorsasymptotically unbiasedYule-Walker type equationscontinuous-time autoregressive processesasymptotically biasedunequally spaced time seriesapproximations to the continuous-time estimatorscontinuously recorded time seriesdiscrete-time estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Cites Work

• Time series: theory and methods.
• Stochastic processes and filtering theory
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• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
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• Estimation of a time series model from unequally spaced data
• The Structural Estimation of a Stochastic Differential Equation System
• On Methods for Obtaining Asymptotically Efficient Spectral Parameter Estimates for a Stationary Gaussian Process with Rational Spectral Density

Cited In (16)

• Yule-Walker estimation of a CAR\((p)\) observed at discrete times
• An improved estimation method for univariate autoregressive models
• THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS
• Estimation of continuous-time autoregressive model from finely sampled data
• Title not available (Why is that?)
• Recent results in the theory and applications of CARMA processes
• A relationship between the Yule-Walker and the maximum likelihood estimators of the AR(1) coefficient
• Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters
• Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Optimal dynamic spatial sampling
• Title not available (Why is that?)
• Frequent pattern mining-based sales forecasting
• Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• Estimation of continuous-time AR process parameters from discrete-time data

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