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
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momentsbiasefficiencyuniform convergencemaximum likelihood estimatorderivativeasymptotic optimalityuniform integrabilityAR(1) processfirst-order autoregressive processCramér-Rao inequalityexistence of unbiased estimatorsminimizing expected mean square errorweighted mean square
Cites Work
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- Distribution function inequalities for martingales
- On the Statistical Treatment of Linear Stochastic Difference Equations
- Asymptotic optimal inference for non-ergodic models
- Properties of Predictors for Autoregressive Time Series
- Asymptotic Properties of the Maximum Likelihood Estimate of an Unknown Parameter of a Discrete Stochastic Process
- On attainable Cramèr-Rao type lower bounds for weighted loss functions
- Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
Cited In (12)
- Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises
- Sequential fixed accuracy estimation for nonstationary autoregressive processes
- A note on maximum likelihood estimation for the complex-valued first- order autoregressive process
- Truncated estimation of ratio statistics with application to heavy tail distributions
- Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
- Guaranteed Estimation of Logarithmic Density Derivative by Dependent Observations
- A truncated estimation method with guaranteed accuracy
- The distribution of the maximum of a first order autoregressive process: The continuous case
- Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
- Title not available (Why is that?)
- Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
- On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
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