The asymptotic properties of the multichannel autoregressive spectral estimates

DOI10.1007/BF02018708zbMath0686.62073MaRDI QIDQ1262672

Zhao-Guo Chen

Publication date: 1988

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

asymptotic propertiescentral limit theoremspectral densityautoregressive spectral estimatemultichannel casemultivariate autoregressionresiduals of best linear predictionvector stationary time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Autocorrelation, autoregression and autoregressive approximation
• A norm inequality for a 'finite-section' Wiener-Hopf equation
• Consistent autoregressive spectral estimates
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• An Asymptotic Result for the Finite Predictor.
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