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REPLICATED OBSERVATIONS OF LOW ORDER AUTOREGRESSIVE TIME SERIES
Author(s) -
Azzalini A.
Publication year - 1981
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1981.tb00312.x
Subject(s) - autoregressive model , mathematics , setar , series (stratigraphy) , star model , replicate , infinity , statistics , order of integration (calculus) , time series , maximum likelihood , nonlinear autoregressive exogenous model , econometrics , autoregressive integrated moving average , mathematical analysis , paleontology , biology
. Independent replicates of first and second order autoregressive stationary time series are considered. Maximum likelihood estimates are studied with special emphasis on asymptotics when the number of replicates tends to infinity and the length of each replicate is fixed.