论文信息 - The asymptotic joint distribution of the estimated autoregressive coefficients

The asymptotic joint distribution of the estimated autoregressive coefficients

The asymptotic joint distribution of the estimated autoregressive coefficients of an autoregressive model, whose order is not necessarily known, are derived. Our result is an extension of the classical result due to Mann and Wald (1943) in which the order is assumed to be known a priori.

Howell Tong

[1] T. Anderson. Statistical analysis of time series , 1974 .

[2] W. Gersch,et al. Estimation of power spectra with finite-order autoregressive models , 1973 .

[3] A. Wald,et al. On the Statistical Treatment of Linear Stochastic Difference Equations , 1943 .

[4] Howell Tong. Autoregressive model fitting with noisy data by Akaike's information criterion (Corresp.) , 1975, IEEE Trans. Inf. Theory.

[5] T. Nakagawa,et al. Statistical approach to computer control of cement rotary kilns , 1972 .

[6] R. Shibata. Selection of the order of an autoregressive model by Akaike's information criterion , 1976 .

[7] Karl Johan Åström,et al. BOOK REVIEW SYSTEM IDENTIFICATION , 1994, Econometric Theory.