Asymptotic normality of autoregressive processes (Q970502)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic normality of autoregressive processes |
scientific article; zbMATH DE number 5709133
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic normality of autoregressive processes |
scientific article; zbMATH DE number 5709133 |
Statements
Asymptotic normality of autoregressive processes (English)
0 references
19 May 2010
0 references
Using an approximation method along with a central limit theorem for \(m\)-dependent random variables, this paper prove an asymptotic normality for autoregressive processes, and provide the central limit theorems of the least square estimate and the Yule-Walker estimate of the parameters of an autoregressive process.
0 references
asymptotic normality
0 references
autoregressive processes
0 references
least squares estimator
0 references
Yule-Walker estimator
0 references
0 references
