Inference About the First-Order Autoregressive Coefficient

DOI10.1081/STA-200056847MaRDI QIDQ4681075zbMATH OpenOpenAlexFDO

Authors Serge B. Provost, Deepak Sanjel

Publication date 14 June 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-200056847

zbMATH Keywords

momentsleast-squares estimatorJacobi polynomialsYule-Walker estimatorAR(1) processratio of quadratic formsBurg's estimatorautoregressive coefficientbeta approximant

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25)

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Cites work

• scientific article; zbMATH DE number 54139 (Why is no real title available?)
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• Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
• CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER
• Confidence intervals for autoregressive coefficients near one
• First Order Autoregression: Inference, Estimation, and Prediction
• Introduction to Time Series and Forecasting
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• On robust estimation in the first order autoregressive processes
• On the bias of the least squares estimator for the first order autoregressive process
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust estimation for the coefficient of a first order autoregressive process
• Structural Analysis for the First Order Autoregressive Stochastic Models
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• The exact moments of the least squares estimator for the autoregressive model

Cited in

(10)

• Valid Edgeworth Expansions of Some Estimators and Bootstrap Confidence Intervals in First‐order Autoregression
• On sequential confidence interval in a stationary Gaussian process
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• A characterization of the innovations of first order autoregressive models
• Effect of aggregation on estimators in AR(1) sequence
• A relationship between the Yule-Walker and the maximum likelihood estimators of the AR(1) coefficient
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
• scientific article; zbMATH DE number 1070672 (Why is no real title available?)
• Effect of autocorrelation estimators on the performance of the X̄ control chart
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.

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