ESTIMATION OF COEFFICIENTS OF AN AUTOREGRESSIVE PROCESS BY USING A HIGHER ORDER MOMENT

DOI10.1111/j.1467-9892.1981.tb00314.xzbMath0505.62077OpenAlexW2087736035MaRDI QIDQ4742196

Mituaki Huzii

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1981.tb00314.x

zbMATH Keywords

autoregressive processYule-Walker equationshigher order moment

Mathematics Subject Classification ID

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

Related Items (3)

Consistent order selection for noncausal autoregressive models via higher-order statistics ⋮ Consistent parameter estimation for non-causal autoregressive models via higher-order statistics ⋮ Identifiability of general ARMA processes using linear cumulant-based estimators

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