Stockis, J.P. and Tong, H.W. (1998) On the statistical inference of a machine-generated autoregressive AR(1) model. Journal of the Royal Statistical Society Series B-Statistical Methodology, 60 (Part 4). pp. 781-796. ISSN 1369-7412.
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We have obtained the asymptotic bias and the limiting distribution for the Yule-Walker estimator of the autoregressive parameter under a considerably weaker assumption than that of independence in the noise sequence. Among other things, these suggest robustness of the classical results and throw some light on the use of simulations based on pseudorandom numbers in verifying these results.
|Uncontrolled keywords:||absolute regularity; autoregressive models; Bernoulli shift; central limit theorem; chaotic maps; mixing; pseudorandom numbers; U-statistics; Yule-Walker estimators|
|Subjects:||Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science
|Depositing User:||Tara Puri|
|Date Deposited:||04 Jun 2009 12:51|
|Last Modified:||04 Jun 2009 12:51|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/17178 (The current URI for this page, for reference purposes)|
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