Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process (Q802264): Difference between revisions

In this paper we obtain an asymptotic expansion of the distribution of the maximum likelihood estimate (MLE) \(\hat\alpha_{ML}\) based on T observations from the first order Gaussian process up to the term of order \(T^{-1}\). The expansion is used to compare \(\hat\alpha_{ML}\) with a generalized estimate \(\hat\alpha_{c_ 1,c_ 2}\) including the least square estimate (LSE) \(\hat\alpha_{LS}\), based on the asymptotic probabilities around the true value of the estimates up to the terms of order \(T^{-1}\). It is shown that \(\hat\alpha_{ML}\) (or the modified MLE \(\hat\alpha^*_{ML})\) is better than \(\hat\alpha_{c_ 1,c_ 2}\) (or the modified estimate \(\hat\alpha^*_{c_ 1,c_ 2})\). Further, we note that \(\hat\alpha^*_{ML}\) does not attain the bound for third order asymptotic median unbiased estimates.