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Estimation de Yule–Walker d'un CAR(p) observé à temps discret |
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| Authors: | Sandie Souchet Xavier Guyon |
| Affiliation: | SAMOS, Université Paris 1, Paris, France |
| Abstract: | Let (X(lδ), l=0,n) be a discrete observation at mesh δ>0 of X, a CAR(p). Classical Yule–Walker estimation are biased and must be corrected. Resultant estimators converge if T=nδ→+∞, are asymptotically normal with rate |
| Keywords: | Mots-clé : Modè le autoré gressif continu d'ordre p Diffusion gaussienne É quations de Yule– Walker Autocovariance et autocovariance dé rivé e Biais d'estimation Normalité et efficacité asymptotique |
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