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The Asymptotic Properties of Burg Estimators

Hainz, Günter

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Abstract

There are estimators for multivariate autoregressive models whichare regarded as multivariate versions of Burg's univariate estimator. For twoof these multivariate Burg estimators the asymptotic equivalence with theYule-Walker estimator is established in this paper, so central limit theoremsfor the Yule-Walker estimator extend to these estimators. Furthermore, theasymptotic bias of the univariate Burg estimator to terms of 1/n is shown to be thesame as the bias of the least-squares estimator; n is the number ofobservations. The main results are true even for mis-specified models.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 16 Jun 2016 07:54
Date: January 1994
Number of Pages: 16
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
Additional Information: gekürzter Titel: Properties of Burg Estimators
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