Gaussian likelihood estimation for nearly nonstationary AR(1) processes (Q806871)
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scientific article; zbMATH DE number 4205670
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| English | Gaussian likelihood estimation for nearly nonstationary AR(1) processes |
scientific article; zbMATH DE number 4205670 |
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Gaussian likelihood estimation for nearly nonstationary AR(1) processes (English)
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1991
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three-parameter first-order autoregressive model
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nearly nonstationary asymptotic model
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Gaussian maximum likelihood estimator
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conditional maximum likelihood
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least squares estimator
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continuous-time Ornstein- Uhlenbeck process
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asymptotic mean squared error
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0.9337889
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0.9189866
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0.91830295
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0.9135153
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0.9092338
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0.9004676
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