%0 Generic
%A Hainz, Günter
%C Heidelberg
%D 1994
%F heidok:21333
%R 10.11588/heidok.00021333
%T The Asymptotic Properties of Burg Estimators
%U https://archiv.ub.uni-heidelberg.de/volltextserver/21333/
%X 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.
%Z gekürzter Titel: Properties of Burg Estimators