Abstract
The Yule-Walker estimators of the AR coefficients of a causal multidimensional AR model are obtained by replacing the autocovariances with their estimators in the Yule-Walker equations. It is shown that only unbiased-type estimators of the autocovariances yield consistency of the Yule-Walker estimators. Also, the asymptotic joint distribution of the Yule-Walker estimators is presented.
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