APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS (Q4012955)
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scientific article; zbMATH DE number 63509
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| English | APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS |
scientific article; zbMATH DE number 63509 |
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APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS (English)
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27 September 1992
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near non-stationary
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moment generating functions
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exact bias
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mean square error
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forward-backward least squares estimators
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characteristic functions
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quadratic form
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first-order autoregressive process
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asymptotic expressions
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cumulants
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maximum likelihood estimator
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approximations
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Ornstein-Uhlenbeck process
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computational procedure
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exact distribution
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numerical comparisons
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0.8603219389915466
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0.8473182916641235
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0.8002904057502747
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