YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS

DOI10.1111/j.1467-9892.1993.tb00145.xzbMath0771.62070OpenAlexW2045774547MaRDI QIDQ5285835

Rob Hyndman

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00145.x

zbMATH Keywords

autocovariance functionmaximum likelihood estimatorsleast squares estimatorsasymptotically unbiasedYule-Walker type equationscontinuous-time autoregressive processesasymptotically biasedunequally spaced time seriesapproximations to the continuous-time estimatorscontinuously recorded time seriesdiscrete-time estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (5)

Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes ⋮ Optimal dynamic spatial sampling ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ Recent results in the theory and applications of CARMA processes ⋮ Frequent pattern mining-based sales forecasting

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time series: theory and methods.
• Estimation of a time series model from unequally spaced data
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Stochastic processes and filtering theory
• On Methods for Obtaining Asymptotically Efficient Spectral Parameter Estimates for a Stationary Gaussian Process with Rational Spectral Density
• The Structural Estimation of a Stochastic Differential Equation System

This page was built for publication: YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS