Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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The Asymptotic Distribution of the Extended Yul-Walker Estimates of a Mixed ARMA Process

  • Kim, Chul-Eung (Department of Applied Statistics, Yonsei University, Seoul, 120-749) ;
  • Park, Byoung-Seon (Department of Applied Statistics, Yonsei University, Seoul, 120-749)
  • Published : 1997.03.01
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Abstract

The asymptotic distribution of the extended Yule-Walker estimates of a mixed ARMA process is derived. Also, a recursive algorithm is derived to calculate the extended Yule-Walker estimates recursively, which is a generalization of the Levinson-Durbin algorithm.

Keywords

References

  1. Convergence of Probability Measures Billingsley, P.
  2. ARMA Model Indentification Choi, B.S.
  3. Computational Methods of Linear Algebra Faddeeva, V.N.
  4. Duke Mathematical Journal v.15 The central limit theorem for dependent random variables Hoeffding, W.;Robbins, H.
  5. Econometrica v.11 On the statistical treatment of linear stochastic difference equations Mann, H.B.;Wald, A.