Stockis, Jean-Pierre,
Tong, Howell
(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.
(The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)
(KAR id:17178)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. |

## Abstract

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.

Item Type: | Article |
---|---|

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: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |

Depositing User: | Tara Puri |

Date Deposited: | 04 Jun 2009 12:51 UTC |

Last Modified: | 16 Nov 2021 09:55 UTC |

Resource URI: | https://kar.kent.ac.uk/id/eprint/17178 (The current URI for this page, for reference purposes) |

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