ESTIMATION OF COEFFICIENTS OF AN AUTOREGRESSIVE PROCESS BY USING A HIGHER ORDER MOMENT

Abstract. When we use the estimators, obtained by solving Yule-Walker equations, of the coefficients of an autoregressive process, we cannot discriminate X _t and Y _t where all the solutions of the associated polynomial equation of X _t are less than 1 in the absolute value and, at least, one of the solutions of that of Y _t is greater than 1 in the absolute value. To discriminate between X _t and Y _t Rosenblatt proposed a method. We propose another method by using a higher order moment.