ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
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Publication:4713798
DOI10.1111/j.1467-9892.1991.tb00076.xzbMath0743.62079OpenAlexW1997867072MaRDI QIDQ4713798
Publication date: 25 June 1992
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.tb00076.x
asymptotic normalitytime series modelsstrongly consistentconditional least-squares estimatorssmall-sample propertiesexponential autoregressive process\(EAR(p)\) models
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cites Work
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- On conditional least squares estimation for stochastic processes
- First-order autoregressive gamma sequences and point processes
- A new autoregressive time series model in exponential variables (NEAR(1))
- Product autoregression: a time-series characterization of the gamma distribution
- A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)