TY  - GEN
TI  - The Asymptotic Properties of Burg Estimators
AV  - public
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/21333/
N1  - gekürzter Titel: Properties of Burg Estimators
EP  - 16
N2  - 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.
ID  - heidok21333
CY  - Heidelberg
A1  - Hainz, Günter
Y1  - 1994/01//
ER  -