On the statistical inference of a machine-generated autoregressive AR(1) model

被引：3

作者：

Stockis, JP ^{[1
]}

Tong, H ^{[1
]}

机构：

[1] Univ Kent, Canterbury, Kent, England

来源：

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY | 1998年 / 60卷

关键词：

absolute regularity; autoregressive models; Bernoulli shift; central limit theorem; chaotic maps; mixing; pseudorandom numbers; U-statistics; Yule-Walker estimators;

D O I：

10.1111/1467-9868.00154

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：781 / 796

页数：16

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