Efficient use of higher‐lag autocorrelations for estimating autoregressive processes

DOI10.1111/1467-9892.00265zbMath1022.62071OpenAlexW3122257423MaRDI QIDQ4431621

Jean-Michel Zakoian, Laurence Broze, Christian Francq

Publication date: 22 October 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00265

zbMATH Keywords

Yule-Walker estimatorefficiency gainsempirical autocorrelations

Mathematics Subject Classification ID

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

Cites Work

• Estimating linear representations of nonlinear processes
• Asymptotic properties of estimators for autoregressive models with errors in variables
• ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES
• On the Statistical Inference of a Machine-generated Autoregressive AR(1) Model

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