scientific article; zbMATH DE number 758243

MaRDI QIDQ4834158zbMATH OpenFDO

Authors A. N. Startsev

Publication date 2 November 1995

zbMATH Keywords

first order autoregressive modelleast squares estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

• Estimation of the autoregression parameter with infinite dispersion of noise
• A characterization of limiting distributions of estimators in an autoregressive process
• A minimum distance estimator for first-order autoregressive processes
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• New approximation for ARMA parameters estimate
• On an estimator of an unknown parameter for a first-order autoregressive procedure \((|\theta|>1)\)
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• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
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• On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case
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