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Distributed lag approximation to linear time-invariant systems

By Peter Robinson

Abstract

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

Publisher: Institute of Mathematical Statistics
Year: 1979
DOI identifier: 10.1214/aos
OAI identifier: oai:eprints.lse.ac.uk:1367
Provided by: LSE Research Online
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