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.
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页码：1077 / 1085
页数：9
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