THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS

DOI10.1081/STA-100002139zbMath1009.62578OpenAlexW2055123078MaRDI QIDQ4540609

Byoung-Seon Choi

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-100002139

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Parameter estimation for a stationary process on a d-dimensional lattice
• Statistical spatial series modelling
• On the asymptotic distributions of mean, autocovariance, autocorrelation, crossgovariancb and impulse response estimators of a stationary multidimensional random field
• The bias of estimators of causal spatial autoregressive processes

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