Yule-Walker estimation of a CAR\((p)\) observed at discrete times

DOI10.1016/S0246-0203(02)01135-4zbMath1011.62098OpenAlexW2071971951MaRDI QIDQ1863440

Xavier Guyon, Sandie Souchet

Publication date: 11 March 2003

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2002__38_6_1093_0

zbMATH Keywords

asymptotic normalityasymptotic efficiencybiased estimationGaussian diffusionsYule-Walker equationcontinuous autoregressive model of order p

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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