Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: Estimation of the autoregressive (AR) parameters of an AR process often involves applying Yule-Walker (YW) equations to the estimated correlations. When the process is Gaussian, the resulting estimate is asymptotically optimal, coinciding with the maximum-likelihood (ML) estimate. Hover, for non-Gaussian processes, applying the YW equations to the estimated correlations may be significantly sub-optimal, whereas computation of the exact ML estimate may be prohibitively cumbersome.   show how the YW equations may be applied to an alternative statistic, namely to off-origin Hessians of the second characteristic function. Although still not optimal,  show in simulation that the resulting estimate can significantly outperform the classical correlation-based estimate, as ll as a cumulants-based estimate.
['Arie Yeredor']
I am writing a research paper on a idea Yule-Walker Equations Applied to Hessians of the Characteristic Function for Improved AR Estimation
[{"from": "human", "value": "I am writing a research paper on a idea Yule-Walker Equations Applied to Hessians of the Characteristic Function for Improved AR Estimation"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: Estimation of the autoregressive (AR) parameters of an AR process often involves applying Yule-Walker (YW) equations to the estimated correlations. When the process is Gaussian, the resulting estimate is asymptotically optimal, coinciding with the maximum-likelihood (ML) estimate. Hover, for non-Gaussian processes, applying the YW equations to the estimated correlations may be significantly sub-optimal, whereas computation of the exact ML estimate may be prohibitively cumbersome.   show how the YW equations may be applied to an alternative statistic, namely to off-origin Hessians of the second characteristic function. Although still not optimal,  show in simulation that the resulting estimate can significantly outperform the classical correlation-based estimate, as ll as a cumulants-based estimate."}]