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The efficiency of estimates in stationary autoregressive series. (English) Zbl 0205.46204

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10 Point estimation
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References:

[1] U. Grenander M. Rosenblatt: Statistical analysis of stationary time series. New York, 1957. · Zbl 0080.12904
[2] J. Hájek: On linear statistical problems in stochastic processes. Czech. Math. J. 12 (87), 1962, 404-444. · Zbl 0114.34504
[3] E. J. Hannan: Анализ временных рядов. Москва 1964. · Zbl 0116.11402
[4] T. A. Magness J. B. McGuire: Comparison of least squares and minimum variance estimates of regression parameters. Ann. Math. Stat. 33, 1962, 462-470. · Zbl 0212.22601
[5] G. S. Watson: Linear least squares regression. Ann. Math. Stat. 38, 1967, 1679-1699. · Zbl 0155.26801
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