The asymptotic properties of the multichannel autoregressive spectral estimates (Q1262672)
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scientific article; zbMATH DE number 4124849
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The asymptotic properties of the multichannel autoregressive spectral estimates |
scientific article; zbMATH DE number 4124849 |
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The asymptotic properties of the multichannel autoregressive spectral estimates (English)
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1988
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This paper extends the results of \textit{K. N. Berk} [Ann. Stat. 2, 489-502 (1974; Zbl 0317.62064)] to the case of multivariate autoregression. A central limit theorem for the autoregressive spectral estimate is proved.
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vector stationary time series
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spectral density
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residuals of best linear prediction
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asymptotic properties
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multichannel case
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multivariate autoregression
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central limit theorem
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autoregressive spectral estimate
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