Asymptotic properties of some subset vector autoregressive process estimators

Journal of Multivariate Analysis

Volumn 90, Issue 2, 2004, Pages 327-347

  Brockwell, Peter J ^a   Davis, Richard A ^a   Trindade, Alexandre A ^b  

^a Department of Environmental and Radiological Health Sciences   (United States)

^b University of Florida ^*  (United States)

Author keywords

Asymptotic distribution; Burg; Least squares; Martingale; Recursive algorithm; Subset modeling; Yule Walker

Indexed keywords

EID: 3042638042     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmva.2003.10.001     Document Type: Article

References (16)

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