The evaluation of certain quadratic forms occurring in autoregressive model fitting

DOI10.1214/aos/1176345695zbMath0507.62075OpenAlexW1974017729MaRDI QIDQ1837507

R. J. Bhansali

Publication date: 1982

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345695

zbMATH Keywords

quadratic formsmoving average processinverse covariance functionautoregressive model fittingsecond- order stationary processasymptotic covariance structureconvergence of sequence of matricesinfinite dimensional stationary covariance matrixinverse of covariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING ⋮ An efficient method for the estimation of multivariate moving averge models ⋮ Estimating multivariate autoregressive moving average models by fitting long autoregressions ⋮ ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS ⋮ ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION ⋮ Approximation for the inverse of Toeplitz matrices with applications to stationary processes ⋮ A characterization of the inverse autocorrelation function ⋮ ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain

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