THE DISTRIBUTION OF ESTIMATES OF PARAMETERS OF MULTIDIMENSIONAL STATIONARY AR PROCESSES

Authors
PAP G
Citation
G. Pap, THE DISTRIBUTION OF ESTIMATES OF PARAMETERS OF MULTIDIMENSIONAL STATIONARY AR PROCESSES, Computers & mathematics with applications, 27(2), 1994, pp. 1-8
Citations number
15
Categorie Soggetti
Computer Sciences",Mathematics,"Computer Applications & Cybernetics
Journal title
Computers & mathematics with applications → ACNP
ISSN journal
08981221
Volume
27
Issue
2
Year of publication
1994
Pages
1 - 8
Database
ISI
SICI code
0898-1221(1994)27:2<1:TDOEOP>2.0.ZU;2-V
Abstract
It is shown that the suitably normalized maximum likelihood estimates of the parameters of periodical type of some multidimensional stationa ry AR processes have exactly normal distribution. This provides a gene ralization of the well-known behaviour of the estimate of period of a complex 1-dimensional AR process (see [1-6]).