APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS

DOI10.1111/J.1467-9892.1992.TB00100.XMaRDI QIDQ4012955zbMATH OpenOpenAlexFDO

Authors Dinh Pham Tuan

Publication date 27 September 1992

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00100.x

zbMATH Keywords

approximationsasymptotic expressionscharacteristic functionscomputational procedurecumulantsexact biasexact distributionfirst-order autoregressive processforward-backward least squares estimatorsmaximum likelihood estimatormean square errormoment generating functionsnear non-stationarynumerical comparisonsOrnstein-Uhlenbeck processquadratic form

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical tables (62Q05) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• A note on maximum likelihood estimation for the first-order autoregressive process
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• scientific article; zbMATH DE number 1304738 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On a Method of Calculation of Semi-Invariants
• On the bias of the least squares estimator for the first order autoregressive process
• On the validity of the formal Edgeworth expansion
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes

Cited in

(23)

• First-order autoregressive models: A method for obtaining eigenvalues for weighting matrices
• On least-squares estimation of the residual variance in the first-order moving average model.
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• A characterization of the innovations of first order autoregressive models
• Finite-sample properties of estimators for first and second order autoregressive processes
• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• scientific article; zbMATH DE number 3901862 (Why is no real title available?)
• Small sample bias reduction of the first-order autoregressive parameter least-squares estimator
• scientific article; zbMATH DE number 1241068 (Why is no real title available?)
• On a distributional bound arising in autoregressive model fitting
• scientific article; zbMATH DE number 1069585 (Why is no real title available?)
• scientific article; zbMATH DE number 2052894 (Why is no real title available?)
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• Inference About the First-Order Autoregressive Coefficient
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
• Empirical likelihood inference for error density estimators in first-order autoregression models
• Moments of AR(k) Parameter Estimators
• A relationship between the Yule-Walker and the maximum likelihood estimators of the AR(1) coefficient
• scientific article; zbMATH DE number 5055318 (Why is no real title available?)
• Moments of AR(1)-Model Estimators
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.

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