YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS

DOI10.1111/J.1467-9892.1993.TB00145.XMaRDI QIDQ5285835zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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Cited in

(16)

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• Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
• Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series
• Yule-Walker estimation of a CAR\((p)\) observed at discrete times
• Estimation of continuous-time AR process parameters from discrete-time data
• An improved estimation method for univariate autoregressive models
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• scientific article; zbMATH DE number 4143298 (Why is no real title available?)
• A relationship between the Yule-Walker and the maximum likelihood estimators of the AR(1) coefficient
• Estimation of continuous-time autoregressive model from finely sampled data
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Optimal dynamic spatial sampling
• THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS
• Frequent pattern mining-based sales forecasting
• scientific article; zbMATH DE number 3930179 (Why is no real title available?)
• Recent results in the theory and applications of CARMA processes

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