On the Statistical Inference of a Machine-generated Autoregressive AR(1) Model

DOI10.1111/1467-9868.00154zbMath0909.62081OpenAlexW1996425800MaRDI QIDQ4214256

Jean-Pierre Stockis, Howell Tong

Publication date: 11 April 1999

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00154

zbMATH Keywords

central limit theoremmixingU-statisticschaotic mapsautoregressive modelspseudorandom numbersBernoulli shiftYule-Walker estimatorabsolute regularity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random number generation in numerical analysis (65C10)

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Efficient use of higher‐lag autocorrelations for estimating autoregressive processes ⋮ Testing a Unit Root Based on Aggregate Time Series

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