On the Statistical Treatment of Linear Stochastic Difference Equations

From MaRDI portal
Publication:5844508


DOI10.2307/1905674zbMath0063.03773OpenAlexW2321541861WikidataQ100355658 ScholiaQ100355658MaRDI QIDQ5844508

A. Wald, Henry B. Mann

Publication date: 1943

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1905674



Related Items

Asymptotic robustness of tests of overidentification and predeterminedness, Decomposition of an autoregressive process into first order processes, Harmonizable processes and inference: Unbiased prediction for stochastic flows, WRITING “THE PROBABILITY APPROACH” WITH NOWHERE TO GO: HAAVELMO IN THE UNITED STATES, 1939–1944, Nearly unstable family of stochastic processes given by stochastic differential equations with time delay, Parameter estimation of random fields with long-range dependence, Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots, Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model, The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors, ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS, Convergence of least squares learning mechanisms in self-referential linear stochastic models, The exact moments of OLS in dynamic regression models with non-normal errors, On limiting distributions in explosive autoregressive processes, Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes, Nearly unstable AR models with coefficient matrices in Jordan normal form, Hypothesis testing in a fractional Ornstein-Uhlenbeck model, Asymptotic results for polygonal processes related to an autoregression, Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series, On the asymptotic normality and independence of the sample partial autocorrelations for an autoregressive process, On the identifiability of linear dynamic systems, High-dimensional VARs with common factors, Instability detection of ARMA systems based on AR system identification, Estimation of upper bounds of errors in identifying autoregressive models, Inference in stochastic processes. II, A new estimator for the unit root, A comparative analysis of various least-squares identification algorithms, The ARMA alphabet soup: a tour of ARMA model variants, On parameter estimation for critical affine processes, A practical method for outlier detection in autoregressive time series modelling, Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable, Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes, The limit theorem for dependent random variables with applications to autoregression models, Testing for dependence in the input to a linear time series model, The law of iterated logarithm for autoregressive processes, Functionals of complex Ornstein-Uhlenbeck processes., Asymptotic properties of nearly unstable multivariate AR processes., Asymptotic inference for \(\mathrm{AR}(1)\) panel data, Derivation of ARMA parameters and orders from pure AR models, Non-stationary parameter estimation for small sample situations: A comparison of methods, Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances, A unified approach to asymptotic behaviors for the autoregressive model with fuzzy data, Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence, Regression with autoregressive errors-some asymptotic results, A small sample confidence interval for autoregressive parameters, An order-testing criterion for mixed autoregressive moving average processes, ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH, Convergence of least squares parameter estimates of weakly stationary time series models driven by uncorrelated processes, Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime, Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise, Connections, context, and community: Abraham Wald and the sequential probability ratio test, Convergence of least squares identification algorithms applied to unstable stochastic processes, Iterated limits and the moderate deviation for dependent variables, Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression, Convergence of least-squares dynamic system identification with finite-accuracy data, Asymptotic properties of dynamic stochastic parameter estimates. III, Least-squares tests of time-series,invention effects with and without autocorrelations, Identification of predictor and filter parameters by ARMA methods†, The structure of simultaneous equations estimators, Approximate confidence sets for a stationary \(AR(p)\) process, Asymptotic properties of autoregressive integrated moving average processes, Relative efficiencies of some simple Bayes estimators of coefficients in dynamic models. I, Consistent estimates of parameters in noisy dynamical systems†, Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models, Least squares and stochastic difference equations, Consistency and asymptotic normality of least squares estimates used in linear systems identification, Adaptive estimates for autoregressive processes, Asymptotic properties of dynamic stochastic parameter estimates, OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES, Mean-square convergence of least-squares identification of white-noise-driven time-series models, The asymptotic joint distribution of the estimated autoregressive coefficients, Periodogram ordinate: spatial model with near unit roots and dependent errors, Estimating the order of moving average models: the max X2method, Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations, On strong consistency of least squares identification algorithms, Integrated functionals of normal and fractional processes, Random difference equations occurring in one-compartment models, Statistical inference for time series with non-precise data, Sequential fixed accuracy estimation for nonstationary autoregressive processes, On the use of a linear model for the identification of feedback systems, Power spectrum estimation through autoregressive model fitting, System identification. A survey, A useful central limit theorem for m-dependent variables, On some moments and distributions occurring in the theory of linear stochastic processes. I, Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance, Autoregressive model fitting for control, Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters, Approximate solution methods for linear stochastic difference equations, Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction, A novel approach to exponential stability in mean square of stochastic difference systems with delays, A comparison of LS/ML and GMM estimation in a simple AR(1) model, Adjusted estimates and Wald statistics for the AR(1) model with constant, Parametric identification of transient electromagnetic systems, Das Einfachheitspostulat in Wissenschaftstheorie und Ökonometrie, Asymptotic behavior of the logarithm of the likelihood function when the spectral density has polynomial zeros, A UNIFIED APPROACH TO CONFIDENCE BOUNDS FOR THE AUTOREGRESSIVE SPECTRAL ESTIMATOR, Unnamed Item, Estimation methods for stationary Gegenbauer processes, Statistical outlier analysis in litigation support: The case of Paul F. Engler and Cactus Feeders, Inc., v. Oprah Winfrey et al, Parameter estimation for nearly nonstationary AR(1) processes, Maximum likelihood estimators in regression models with infinite variance innovations, The primary process of a smoothing relation, Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model, DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL, On residuals and their autocorrelations in fitted time series models, Stochastic stability of macroeconomic systems†, Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process, On the covariance matrix estimators of the white noise process of a vector autoregressive model, Testing hypotheses and the construction of confidence intervals for the parameters of stochastic linear difference equations in small samples, Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations, Generalized Covariance Estimator, Asymptotic inference for an unstable spatial AR model, [https://portal.mardi4nfdi.de/wiki/Publication:5734828 �ber die Konsistenz von Parametersch�tzfunktionen f�r ein gemischtes Zeitreihen-Regressionsmodell], Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series, A unified sequential identification structure based on convergence considerations, TRYGVE HAAVELMO AT THE COWLES COMMISSION, Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Unnamed Item, Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets, The primary process of a smoothing relation, Robust testing of level changes in interrupted time-series analysis, DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE, HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION, Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process