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ESTIMATION OF COEFFICIENTS OF AN AUTOREGRESSIVE PROCESS BY USING A HIGHER ORDER MOMENT
Author(s) -
Huzii Mituaki
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.tb00314.x
Subject(s) - mathematics , autoregressive model , estimator , moment (physics) , star model , polynomial , order (exchange) , value (mathematics) , statistics , mathematical analysis , autoregressive integrated moving average , time series , physics , finance , classical mechanics , economics
. When we use the estimators, obtained by solving Yule‐Walker equations, of the coefficients of an autoregressive process, we cannot discriminate X t and Y t where all the solutions of the associated polynomial equation of X t are less than 1 in the absolute value and, at least, one of the solutions of that of Y t is greater than 1 in the absolute value. To discriminate between X t and Y t Rosenblatt proposed a method. We propose another method by using a higher order moment.