Asymptotic Properties of Extended Yule-Walker Estimates of the AR Parameters of an ARMA (Autoregressive Moving-Average).
Interim technical rept. Oct 82-May 83,
NAVAL OCEAN SYSTEMS CENTER SAN DIEGO CA
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The extended Yule-Walker equations are used to estimate the autoregressive parameters of an autoregressive moving-average time series. The asymptotic statistical properties of these estimates are derived. It is shown that they are asymptotically unbiased and normal the covariance matrix of the limit distribution is calculated. The special case of estimating the autoregressive parameters of a noise corrupted autoregressive series is also treated. Author
- Statistics and Probability