Minimum distance estimation and goodness-of-fit tests in first-order autoregression (Q1085552)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimum distance estimation and goodness-of-fit tests in first-order autoregression |
scientific article |
Statements
Minimum distance estimation and goodness-of-fit tests in first-order autoregression (English)
0 references
1986
0 references
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.
0 references
least-squares estimator
0 references
Cramér-von Mises type statistic
0 references
weighted empirical residual process
0 references
stationary
0 references
ergodic
0 references
influence curve
0 references
first- order autoregressive model
0 references
minimum distance estimator
0 references
asymptotically efficient estimator
0 references
goodness-of-fit tests of symmetry
0 references
