Effect of aggregation on estimators in AR(1) sequence
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11749-008-0123-9.pdf
Reference10 articles.
1. Anderson TW (2003) An introduction to multivariate statistical analysis. Wiley, New York
2. Granger CWJ (1980) Long memory relationships and the aggregation of dynamic models. J Econ 14:227–238
3. Granger CWJ, Morris MJ (1976) Time series modelling and interpretation. J R Stat Soc Ser A 139:246–257
4. Lehmann EL (1966) Some concepts of dependence. Ann Math Stat 37:1137–1153
5. Leipus R, Oppenheim G, Philippe A, Viano M-C (2005) Orthogonal series density estimation in a disaggregation scheme. J Stat Plann Inference 136:2547–2571
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1. Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data;Journal of Multivariate Analysis;2017-01
2. Limit Theorems for Aggregated Linear Processes;Advances in Applied Probability;2013-06
3. Limit Theorems for Aggregated Linear Processes;Advances in Applied Probability;2013-06
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