REPLICATED OBSERVATIONS OF LOW ORDER AUTOREGRESSIVE TIME SERIES

A. Azzalini

Journal of Time Series Analysis, 1981, vol. 2, issue 2, 63-70

Abstract: Abstract. Independent replicates of first and second order autoregressive stationary time series are considered. Maximum likelihood estimates are studied with special emphasis on asymptotics when the number of replicates tends to infinity and the length of each replicate is fixed.

Date: 1981
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