Autoregressive approximation in nonstandard situations: The fractionally integrated and non-invertible cases

Annals of the Institute of Statistical Mathematics

Volumn 59, Issue 4, 2007, Pages 697-725

  Poskitt, D S ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Asymptotic efficiency; Autoregression; Autoregressive approximation; Fractional process; Non invertibility; Order selection

Indexed keywords

APPROXIMATION THEORY; MATHEMATICAL MODELS; PARAMETER ESTIMATION; TIME SERIES ANALYSIS;

ASYMPTOTIC EFFICIENCY; AUTOREGRESSIVE APPROXIMATION; AUTOREGRESSIVE MODELS; CONVERGENCE RATES; FRACTIONAL PROCESS; ORDER SELECTION;

LINEAR REGRESSION;

EID: 36448943535     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-006-0074-4     Document Type: Article

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