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Latest revision as of 01:52, 20 March 2024
scientific article
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English | Minimum distance estimation and goodness-of-fit tests in first-order autoregression |
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Minimum distance estimation and goodness-of-fit tests in first-order autoregression (English)
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1986
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Consider the first-order autoregressive model \(X_ i=\rho X_{i- 1}+\epsilon_ i\), where the \(\{\epsilon_ i\}\) are i.i.d. according to a df F, symmetric about zero. The paper considers a minimum distance estimator of \(\rho\), within a certain class determined by a finite measure on the Borel line. In this class an asymptotically efficient estimator is exhibited. The paper also discusses goodness-of-fit tests of symmetry and for a specified error distribution.
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least-squares estimator
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Cramér-von Mises type statistic
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weighted empirical residual process
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stationary
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ergodic
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influence curve
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first- order autoregressive model
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minimum distance estimator
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asymptotically efficient estimator
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goodness-of-fit tests of symmetry
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