After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Estimators for the parameters of autoregressive time series are compared, emphasizing processes with a unit root or a root close to 1. The approximate bias of the sum of the autoregressive ...
Two methods of parameter estimation for a general nonlinear autoregressive process with beta-ARCH innovations are discussed and the large sample properties of the estimators for each method are ...
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