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The asymptotic joint distribution of the estimated autoregressive coefficients

 

作者: H. TONG,  

 

期刊: International Journal of Control  （Taylor Available online 1978）
卷期: Volume 27, issue 5  

页码: 801-807

 

ISSN:0020-7179

 

年代: 1978

 

DOI:10.1080/00207177808922411

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The asymptotic joint distribution of the estimated autoregressive coefficients of an autoregressive model, whose order isnotnecessarily known, are derived. Our result is an extension of the classical result due to Mann and Wald (1943) in which the order is assumed to be knowna priori.

 

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