EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES

DOI10.1111/J.1467-842X.1992.TB01048.XzbMATH Open0751.62001OpenAlexW2000993426MaRDI QIDQ4014607FDOQ4014607

Authors: Young-Won Kim, I. V. Basawa 

Publication date: 12 October 1992

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1992.tb01048.x

zbMATH Keywords

maximum likelihood estimationpanel datafrequentistfirst order autoregressive processlarge sample propertiesempirical Bayes estimateLarge sample properties

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Empirical decision procedures; empirical Bayes procedures (62C12)

Cited In (16)

• Limit theory for random coefficient first-order autoregressive process
• Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice
• Large sample inference for a multivariate linear model with autocorrelated errors
• Empirical Bayes prediction for a mixed linear model with autoregressive errors
• Parameter estimation for generalized random coefficient autoregressive processes
• Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Parameter estimation in a stationary autoregressive process with correlated multiple observations
• Large sample estimation in nonstationary autoregressive processes with multiple observations
• Random autoregressive models: a structured overview
• Title not available (Why is that?)
• The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• A new RCAR(1) model based on explanatory variables and observations
• Estimation in the multipath change point problem for correlated data
• An EM Algorithm Fitting First-Order Conditional Autoregressive Models to Longitudinal Data

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