Asymptotic normality of autoregressive processes

DOI10.1007/S10440-009-9494-5zbMATH Open1201.60022OpenAlexW2109421145MaRDI QIDQ970502FDOQ970502

Yu Miao

Publication date: 19 May 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-009-9494-5

zbMATH Keywords

asymptotic normalityautoregressive processesleast squares estimatorYule-Walker estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Moderate deviation principle for autoregressive processes
• Large deviations for stationary Gaussian processes
• Large and moderate deviations for infinite-dimensional autoregressive processes.
• Some laws of the iterated logarithm in Hilbertian autoregressive models
• Large deviations for quadratic functionals of Gaussian processes
• Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
• A central limit theorem for \(m\)-dependent random variables
• The Discounted Large Deviation Principle for Autoregressive Processes

Cited In (8)

• Asymptotic distribution with random indices for linear processes
• Autoregressive processes with normal-Laplace marginals
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• A central limit theorem for autoregressive integrated moving average processes
• Title not available (Why is that?)
• AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS
• Title not available (Why is that?)
• The Discounted Berry-Esséen Analogue for Autoregressive Processes

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