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Finite-sample properties of estimators for first and second order autoregressive processes |
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| Authors: | Sørbye Sigrunn H Nicolau Pedro G Rue Håvard |
| Institution: | 1.UiT The Arctic University of Norway, Troms?, Norway ;2.King Abdullah University of Science and Technology, Thuwal, Saudi Arabia ; |
| Abstract: | Statistical Inference for Stochastic Processes - The class of autoregressive (AR) processes is extensively used to model temporal dependence in observed time series. Such models are easily... |
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