Moving - Average Representation of Autoregressive Approximations
نویسنده
چکیده
We study the properties of an MA1-representation of an autoregressive a p p r o x-imation for a stationary, real-valued process. In doing so we g i v e an extension of Wiener's Theorem in the deterministic approximation setup. When dealing with data, we can use this new key result to obtain insight i n to the structure of MA1-representations of tted autoregressive models where the order increases with the sample size. In particular, we show strong consistency of the MA1-transfer function via autoregressive approximation.
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