Qiu, D.; Shao, Q.; Yang, L. - In: Journal of Multivariate Analysis 114 (2013) C, pp. 40-53
Time series often contain unknown trend functions and unobservable error terms. As is known, Yule–Walker estimators are asymptotically efficient for autoregressive time series. The focus of this article is the Yule–Walker estimators for time series with trends. A nonparametric detrending...