Search Results - subject:"Yule–Walker equations"

Jentsch, Carsten; Reichmann, Lena - In: Journal of Time Series Analysis 43 (2021) 2, pp. 285-311

probabilities. In particular, classical Yule–Walker equations hold that facilitate parameter estimation in gbVAR models. In …

Persistent link: https://www.econbiz.de/10014485925

Jentsch, Carsten; Reichmann, Lena - In: Econometrics : open access journal 7 (2019) 4/47, pp. 1-26

derive stochastic properties of gbARMA processes. For the purely autoregressive case, classical Yule–Walker equations hold …

Persistent link: https://www.econbiz.de/10012160802

Jentsch, Carsten; Meyer, Marco - In: Journal of econometrics 222 (2021) 1,3, pp. 676-687

Persistent link: https://www.econbiz.de/10012619774

Fryzlewicz, Piotr; Bellegem, Sébastien; Sachs, Rainer - In: Annals of the Institute of Statistical Mathematics 55 (2003) 4, pp. 737-764

Persistent link: https://www.econbiz.de/10005616282