✦ LIBER ✦

Asymptotic properties of some subset vector autoregressive process estimators

✍ Scribed by Peter J Brockwell; Richard A Davis; A.Alexandre Trindade

Book ID: 108185404
Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 309 KB
Volume: 90
Category: Article
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2003.10.001

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On the asymptotic efficiency of estimato

On the asymptotic efficiency of estimators in an autoregressive process

✍ Masafumi Akahira 📂 Article 📅 1976 🏛 Springer Japan 🌐 English ⚖ 570 KB

Asymptotic properties of the maximum lik

Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process

✍ Yasunori Fujikoshi; Yoshimichi Ochi 📂 Article 📅 1984 🏛 Springer Japan 🌐 English ⚖ 426 KB

Asymptotic properties of full informatio

Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models

✍ Phoebus J. Dhrymes; H. Erlat 📂 Article 📅 1974 🏛 Elsevier Science 🌐 English ⚖ 568 KB

Bootstrapping Autoregressive and Moving

Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes

✍ Efstathios Paparoditis 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 925 KB

We consider an r-dimensional multivariate time series [y t , t # Z] which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finite k-order vector autoregressive process (k Ä at an appr

Estimation and synthesis of singular vec

Estimation and synthesis of singular vector autoregressive processes over component spaces

✍ Jinhui Chao; Shigeo Tsujii 📂 Article 📅 1989 🏛 Elsevier Science 🌐 English ⚖ 900 KB

Asymptotic properties of nonlinear autor

Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching

✍ Fubao Xi; G. Yin 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 408 KB