A note on the asymptotic covariance matrix of the Yule--Walker estimator

Keith Knight

Statistics & Probability Letters, 1989, vol. 8, issue 5, 407-410

Abstract: Yohai and Maronna (1977) provided a general form for the asymptotic covariance matrix of the Yule--Walker estimator of autoregressive parameters when the innovations {[var epsilon]t} have a symmetric distribution with E(ln+[var epsilon]t)

Keywords: autoregressive; process; stable; law; Yule--Walker; estimator; asymptotic; covariance (search for similar items in EconPapers)
Date: 1989
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