On the statistical inference of a machine-generated autoregressive AR(1) model
成果类型：
Article
署名作者：
Stockis, JP; Tong, H
署名单位：
University of Kent
刊物名称：
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
ISSN/ISSBN：
1369-7412
DOI：
10.1111/1467-9868.00154
发表日期：
1998
页码：
781-796
关键词：
摘要：
We have obtained the asymptotic bias and the limiting distribution for the Yule-Walker estimator of the autoregressive parameter under a considerably weaker assumption than that of independence in the noise sequence. Among other things, these suggest robustness of the classical results and throw some light on the use of simulations based on pseudorandom numbers in verifying these results.