Gaussian likelihood estimation for nearly nonstationary AR(1) processes

DOI10.1214/aos/1176348241zbMath0729.62077OpenAlexW2071679462MaRDI QIDQ806871

Dennis D. Cox

Publication date: 1991

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348241

zbMATH Keywords

least squares estimatorconditional maximum likelihoodGaussian maximum likelihood estimatorasymptotic mean squared errorcontinuous-time Ornstein- Uhlenbeck processnearly nonstationary asymptotic modelthree-parameter first-order autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (6)

Asymptotic accuracy of the least-squares estimates in nearly nonstationary autoregressive models ⋮ Robust estimators and probability integral transformations ⋮ New statistical investigations of the Ornstein-Uhlenbeck process. ⋮ On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails ⋮ A likelihood based estimator for vector autoregressive processes ⋮ Bayesian prediction for stochastic processes: theory and applications

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