An infinite distributed lag system is approximated by a truncated one, which can be consistently estimated. We investigate the rate at which the parameter space in the approximate model can be increased as sample size increases, in such a way that these estimates will provide consistent estimates of the underlying system.
Publié le : 1979-05-14
Classification:
Distributed lags,
frequency response function,
rates of convergence,
convergence of sample autocovariances,
62M10,
62E20
@article{1176344672,
author = {Robinson, P. M.},
title = {Distributed Lag Approximation to Linear Time-Invariant Systems},
journal = {Ann. Statist.},
volume = {7},
number = {1},
year = {1979},
pages = { 507-515},
language = {en},
url = {http://dml.mathdoc.fr/item/1176344672}
}
Robinson, P. M. Distributed Lag Approximation to Linear Time-Invariant Systems. Ann. Statist., Tome 7 (1979) no. 1, pp. 507-515. http://gdmltest.u-ga.fr/item/1176344672/