A note on maximum likelihood estimation for the first-order autoregressive process

DOI10.1080/03610928008827969zbMATH Open0459.62081OpenAlexW2077778435MaRDI QIDQ3909882FDOQ3909882

Authors: David P. Hasza 

Publication date: 1980

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928008827969

zbMATH Keywords

time seriesmaximum likelihood estimatorclosed-form expressionstationary first-order autoregressive process

Mathematics Subject Classification ID

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

Cites Work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Title not available (Why is that?)
• Title not available (Why is that?)
• Serial Correlation and Quadratic Forms in Normal Variables

Cited In (8)

• Title not available (Why is that?)
• A Note on the Estimation of Autocorrelation in Repeated Measurements
• A note on maximum likelihood estimation for the complex-valued first- order autoregressive process
• On exponential rates of estimators of the parameter in the first-order autoregressive process
• Asymptotic expansions for the moments of serial correlation coefficients
• A new estimator for the unit root
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
• Developments in maximum likelihood unit root tests

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