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Replicated Observations Of Low Order Autoregressive Time Series

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  • A. Azzalini

Abstract

. 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.

Suggested Citation

  • A. Azzalini, 1981. "Replicated Observations Of Low Order Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(2), pages 63-70, March.
    • Handle: RePEc:bla:jtsera:v:2:y:1981:i:2:p:63-70
    DOI: 10.1111/j.1467-9892.1981.tb00312.x
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    Cited by:

    1. Perera, D.I. & Peiris, M.S. & Robinson, J. & Weber, N.C., 2008. "The empirical saddlepoint method applied to testing for serial correlation in panel time series data," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2876-2882, December.
    2. Isabel Silva & M. Eduarda Silva & Isabel Pereira & Nélia Silva, 2005. "Replicated INAR(1) Processes," Methodology and Computing in Applied Probability, Springer, vol. 7(4), pages 517-542, December.

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