After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...

This is a preview. Log in through your library . Abstract We study the bias of Yule-Walker, least squares and Burg-type estimates of the residual variance of autoregressive processes. Both simulations ...

Walker, Helen Yule, went to be with her Lord Jesus on Aug 1, 2013 surrounded by her loving family. Helen was born Christmas Day 1932 in Artesia, spent her childhood living with her family on their ...

In this example, the Grunfeld series are estimated using different estimation methods. Refer to Maddala (1977) for details of the Grunfeld investment data set. For comparison, the Yule-Walker method, ...