PARAMETER ESTIMATION IN EXPONENTIAL MODELS

DOI10.1111/J.1467-9892.1991.TB00066.XzbMath0716.62091OpenAlexW2110909022MaRDI QIDQ3203890

Qian-Sheng Cheng

Publication date: 1991

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00066.x

zbMATH Keywords

consistencytime domainconvergence rateautocorrelation functionspectral densityYule-Walker equationsorder determinationweakly stationary time seriesexponential model process

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)

Cites Work

• An exponential model for the spectrum of a scalar time series
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