Bernstein--Frechet inequalities for the parameter of the first order autoregressive process
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Publication:1775077
DOI10.1016/J.CRMA.2004.12.016zbMath1061.62132OpenAlexW2017575096MaRDI QIDQ1775077
Abdelnasser Dahmani, Megdouda Tari
Publication date: 4 May 2005
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2004.12.016
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15)
Cites Work
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- Fixed accuracy estimation of an autoregressive parameter
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
- On Uniform Asymptotic Normality of Sequential Estimators for the Parameters in a Stable AR(1)
- Likelihood analysis of a first‐order autoregressive model with exponential innovations
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