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Estimation of the Impulse-Response Coefficients of a Linear Process with Infinite Variance

✍ Scribed by R.J. Bhansali

Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
536 KB
Volume
45
Category
Article
ISSN
0047-259X

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Sequential procedures are proposed to estimate the unknown mean vector of a multivariate linear process of the form \(\mathbf{X}_{t}-\boldsymbol{\mu}=\sum_{j=0}^{x} A_{j} \mathbf{Z}_{i-j}\), where the \(\mathbf{Z}_{i}\) are i.i.d. \((0, \Sigma)\) with unknown covariance matrix \(\Sigma\). The propos