Asymptotic Normality of Autoregressive Processes

被引：2

作者：

Miao, Yu ^{[1
]}

机构：

[1] Henan Normal Univ, Coll Math & Informat Sci, Xinxiang 453007, Henan, Peoples R China

来源：

ACTA APPLICANDAE MATHEMATICAE | 2010年 / 110卷 / 03期

关键词：

Asymptotic normality; Autoregressive processes; Least squares estimator; Yule-Walker estimator; MODERATE DEVIATIONS; GAUSSIAN-PROCESSES; TIME-SERIES; UNIT-ROOT; FUNCTIONALS;

D O I：

10.1007/s10440-009-9494-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An asymptotic normality for autoregressive processes is established. As statistical applications we provide the central limit theorems of the least square and the Yule-Walker estimators of the parameter of an autoregressive process.

引用

页码：1077 / 1085

页数：9

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