A note on the asymptotic covariance matrix of the Yule-Walker estimator

DOI10.1016/0167-7152(89)90019-9zbMath0687.62074OpenAlexW1997011404MaRDI QIDQ1263209

Keith Knight

Publication date: 1989

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(89)90019-9

zbMATH Keywords

symmetric distributionautoregressive parametersdomain of attraction of a stable lawasymptotic covariance matrix of the Yule-Walker estimator ofasymptotic covariance matrix of the Yule-Walker estimator of autoregressive parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
• More limit theory for the sample correlation function of moving averages
• Time series: theory and methods
• Limit theory for the sample covariance and correlation functions of moving averages
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Limit distributions of self-normalized sums
• Autoregressive processes with infinite variance

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