title: The Asymptotic Properties of Burg Estimators
creator: Hainz, Günter
subject: ddc-510
subject: 510 Mathematics
description: 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.
date: 1994-01
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/21333/1/beitrag.18.pdf
identifier: DOI:10.11588/heidok.00021333
identifier: urn:nbn:de:bsz:16-heidok-213332
identifier:   Hainz, Günter  (1994) The Asymptotic Properties of Burg Estimators.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/21333/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng