Asymptotic properties of some subset vector autoregressive process estimators

DOI10.1016/J.JMVA.2003.10.001zbMath1074.62054OpenAlexW2095478276MaRDI QIDQ1882943

Peter J. Brockwell, Richard A. Davis, A. Alexandre Trindade

Publication date: 1 October 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2003.10.001

zbMATH Keywords

MartingaleRecursive algorithmLeast squaresBurgSubset modelingYule--Walker

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (1)

Practical small sample inference for single lag subset autoregressive models

Uses Software

• bdt

Cites Work

• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
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