On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series
DOI10.1007/BF02925493zbMath0742.62086OpenAlexW2081450136MaRDI QIDQ3979548
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Publication date: 26 June 1992
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02925493
rootscharacteristic polynomialunit circleautoregressive modeltwo-stage estimation proceduremoving average errorsYule-Walker type equationspartially explosivemoving average residualsCAN-estimatorsconsistent and asymptotically normal estimatorssimplified linear equationsYule-Walker type estimators
Cites Work
- Convergence theorems on the least square estimators of the structural parameters of a linear explosive model
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
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