Distributed Lag Approximation to Linear Time-Invariant Systems
Open Access
- 1 May 1979
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 7 (3) , 507-515
- https://doi.org/10.1214/aos/1176344672
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.Keywords
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