Asymptotic normality of autoregressive processes

DOI10.1007/S10440-009-9494-5MaRDI QIDQ970502zbMATH OpenOpenAlexFDO

Authors 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

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

Review text

Using an approximation method along with a central limit theorem for \(m\)-dependent random variables, this paper prove an asymptotic normality for autoregressive processes, and provide the central limit theorems of the least square estimate and the Yule-Walker estimate of the parameters of an autoregressive process.

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Cited in

(26)

• A characterization of limiting distributions of estimators in an autoregressive process
• The asymptotic properties of the multichannel autoregressive spectral estimates
• A note on the asymptotic covariance matrix of the Yule-Walker estimator
• A central limit theorem for autoregressive integrated moving average processes
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