Hainz, Günter
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Abstract
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.
| Document type: | Working paper |
|---|---|
| Place of Publication: | Heidelberg |
| Date Deposited: | 16 Jun 2016 07:54 |
| Date: | January 1994 |
| Number of Pages: | 16 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Series: | Beiträge zur Statistik > Beiträge |
| Additional Information: | gekürzter Titel: Properties of Burg Estimators |
