Optimality of the Maximum Likelihood Estimator in AR (p) Model Under a General Set-Up of the Roots

DOI10.1177/0008068319920101MaRDI QIDQ4032369zbMATH OpenOpenAlexFDO

Authors

Publication date 1 April 1993

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319920101

zbMATH Keywords

least-squares estimatormaximum likelihood estimatorcharacteristic equationautoregressive processuniform integrabilityGaussian innovationsellipsoid of concentrationCramér-Rao lower boundmultiple autoregressive processesoptimality of the maximum likelihood estimator

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

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Cited in

(2)

• Sequential estimation of the autoregressive parameters in ar(p) model
• A note on parameter reduction in the \(\mathrm{AR}(p)\) process

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