Maximum likelihood type estimation for nearly nonstationary autoregressive time series (Q1178936): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:34, 4 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood type estimation for nearly nonstationary autoregressive time series |
scientific article |
Statements
Maximum likelihood type estimation for nearly nonstationary autoregressive time series (English)
0 references
26 June 1992
0 references
non-Gaussian time series
0 references
nearly nonstationary first-order autoregression
0 references
sequence of autoregressive processes
0 references
i.i.d. mean zero shocks
0 references
maximum likelihood type estimators
0 references
\(M\) estimators
0 references
score function
0 references
limiting distribution
0 references
stochastic integrals
0 references
shock density
0 references
minimizing asymptotic mean squared error
0 references
maximum likelihood score
0 references
least squares score
0 references
asymptotic efficiency
0 references
