OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES

DOI10.1111/J.1467-9892.1991.TB00080.XzbMATH Open0733.62094OpenAlexW2128377083MaRDI QIDQ3359620FDOQ3359620

Authors Piotr W. Mikulski, Michael J. Monsour

Publication date 1991

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1991.tb00080.x

zbMATH Keywords

momentsbiasefficiencyuniform convergencemaximum likelihood estimatorderivativeasymptotic optimalityuniform integrabilityAR(1) processfirst-order autoregressive processCramér-Rao inequalityexistence of unbiased estimatorsminimizing expected mean square errorweighted mean square

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• Asymptotic Properties of the Maximum Likelihood Estimate of an Unknown Parameter of a Discrete Stochastic Process
• Asymptotic optimal inference for non-ergodic models
• Distribution function inequalities for martingales
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• On attainable Cramèr-Rao type lower bounds for weighted loss functions
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Properties of Predictors for Autoregressive Time Series

Cited in

(12)

• scientific article; zbMATH DE number 3881728 (Why is no real title available?)
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
• Sequential fixed accuracy estimation for nonstationary autoregressive processes
• The distribution of the maximum of a first order autoregressive process: The continuous case
• Truncated estimation of ratio statistics with application to heavy tail distributions
• A truncated estimation method with guaranteed accuracy
• Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises
• A note on maximum likelihood estimation for the complex-valued first- order autoregressive process
• On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
• Guaranteed estimation of logarithmic density derivative by dependent observations

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