✦ LIBER ✦

RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

✍ Scribed by Keith Knight

Book ID: 111039521
Publisher: John Wiley and Sons
Year: 1987
Tongue: English
Weight: 355 KB
Volume: 8
Category: Article
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.1987.tb00420.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On convergence of LAD estimates in autor

On convergence of LAD estimates in autoregression with infinite variance

✍ Hong-Zhi An; Zhao-guo Chen 📂 Article 📅 1982 🏛 Elsevier Science 🌐 English ⚖ 387 KB

Limit Theory for Autoregressive-Paramete

Limit Theory for Autoregressive-Parameter Estimates in an Infinite-Variance Random Walk

✍ Keith Knight 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 French ⚖ 670 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

Rates of convergence of autocorrelation

Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes

✍ Serge Guillas 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 114 KB

CONVERGENCE OF LEAST SQUARES ESTIMATES O

CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1

✍ Shibata, Ritei 📂 Article 📅 1977 🏛 Wiley (Blackwell Publishing) 🌐 English ⚖ 350 KB

Robustness of the autoregressive spectra

Robustness of the autoregressive spectral estimate for linear processes with infinite variance

✍ R. J. Bhansali 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 400 KB