Yule-Walker estimation of a CAR(p) under discrete observation

被引：1

作者：

Souchet, S ^{[1
]}

Guyon, X ^{[1
]}

机构：

[1] Univ Paris 01, SAMOS, F-75231 Paris 05, France

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2002年 / 38卷 / 06期

关键词：

D O I：

10.1016/S0246-0203(02)01135-4

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：

Let (X(1delta), 1 = 0, n) be a discrete observation at mesh delta > 0 of X, a CAR(p). Classical Yule-Walker estimation are biased and must be corrected. Resultant estimators,converge if T = ndelta --> +infinity, are asymptotically no rrnal with rate rootT, and efficient. The diffusion coefficient is also estimated, with rate rootTdelta(-1). (C) 2002 Editions scientifiques et medicales Elsevier SAS.

引用

页码：1093 / 1100

页数：8

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