Finite Sample Analysis of the First Order Autoregressive Model

DOI10.1177/0008068319850105MaRDI QIDQ3746729zbMATH OpenOpenAlexFDO

Authors Asraul Hoque

Publication date 1985

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319850105

zbMATH Keywords

exact first and second momentsfirst order moving averageintercept termOLS estimatorordinary least squares estimator

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(9)

• The exact multi-period mean-square forecast error for the first-order autoregressive model
• Sampling schemes by variables inspection for the first-order autoregressive model between linear profiles
• Locally most powerful test for the random coefficient autoregressive model
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• On fixed accuracy confidence interval in multivariate normal distribution with order 1 autoregressive covariance structure
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables

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