Repeated Measurements on Autoregressive Processes
作者： T. W. Anderson
DOI: 10.1080/01621459.1978.10481585
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摘要: Abstract Estimation of parameters and tests hypotheses are studied in first-order autoregressive processes where the process is observed several times over a given time interval. The may be homogeneous (i.e., constant time) or inhomogeneous (time-varying parameters). Sufficient statistics under normality obtained for various cases given.
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