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Efficient GMM estimation of weak AR processes

✍ Scribed by Kenneth D. West

Book ID
117332237
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
44 KB
Volume
75
Category
Article
ISSN
0165-1765

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Estimation of the mean of multivariate A
Estimation of the mean of multivariate AR processes
✍ M. AratΓ³; G. Pap; K. Varga πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 708 KB

In this paper, we show that for autoregressive processes the estimators of mean are consistent if the component of the process is 'periodical', and it is not the case if the component is a damping one. In the one-dimensional AR(l) case, the mean cannot be estimated well. In the complex AR(l), where