Parameter estimation in a stationary autoregressive process with correlated multiple observations

DOI10.1016/0378-3758(94)90203-8zbMath0850.62679OpenAlexW1964325662MaRDI QIDQ1330190

Sankara N. Sethuraman, Ishwar V. Basawa

Publication date: 12 July 1994

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90203-8

zbMATH Keywords

autocorrelation functionlimit distributionsleast-squares estimationintraclass correlationmultiple observationsstationary autoregressive processlarge sample estimationGaussian maximum likelihood estimatorsjoint autocorrelation functionpanel time seriesstationary \(\text{AR}(p)\) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Large sample estimation in nonstationary autoregressive processes with multiple observations, Statistical inference in a panel data semiparametric regression model with serially correlated errors

Cites Work

• Large-sample tests of homogeneity for time series models
• Large-sample inference for a regression model with autocorrelated errors
• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Statistics for Modern Business Decisions (2nd ed.).
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item