Inference About the First-Order Autoregressive Coefficient

DOI10.1081/STA-200056847zbMath1074.62060OpenAlexW2149309951MaRDI QIDQ4681075

Deepak Sanjel, Serge B. Provost

Publication date: 14 June 2005

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

Full work available at URL: https://doi.org/10.1081/sta-200056847

zbMATH Keywords

momentsJacobi polynomialsleast-squares estimatorYule-Walker estimatorAR(1) processratio of quadratic formsBurg's estimatorautoregressive coefficientbeta approximant

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Point estimation (62F10)

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Cites Work

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• Confidence intervals for autoregressive coefficients near one

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