A characterization of limiting distributions of estimators in an autoregressive process

DOI10.1007/BF02482506zbMath0595.62088MaRDI QIDQ1077854

B. George

Publication date: 1986

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

representation theorem; local asymptotic normality; risk; adaptive estimators; first order autoregressive model; characterization of limiting distributions; local asymptotic minimax bound; local likelihood ratio

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G12: General second-order stochastic processes

62E10: Characterization and structure theory of statistical distributions

Related Items

Large deviations and estimation in infinite-dimensional models, An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process, Adaptive estimators for parameters of the autoregression function of a Markov chain, Quasi-likelihood models and optimal inference, Regression with autoregressive errors-some asymptotic results

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