ESTIMATION OF COEFFICIENTS OF AN AUTOREGRESSIVE PROCESS BY USING A HIGHER ORDER MOMENT

Mituaki Huzii

Journal of Time Series Analysis, 1981, vol. 2, issue 2, 87-93

Abstract: Abstract. When we use the estimators, obtained by solving Yule‐Walker equations, of the coefficients of an autoregressive process, we cannot discriminate Xt and Yt where all the solutions of the associated polynomial equation of Xt are less than 1 in the absolute value and, at least, one of the solutions of that of Yt is greater than 1 in the absolute value. To discriminate between Xt and Yt Rosenblatt proposed a method. We propose another method by using a higher order moment.

Date: 1981
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