Variance bounds for estimators in autoregressive models with constraints

DOI10.1080/02331888.2011.616932zbMath1327.62452MaRDI QIDQ5299492

Anton Schick, Ursula U. Müller, Wolfgang Wefelmeyer

Publication date: 25 June 2013

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2011.616932

zbMATH Keywords

information matrix; Cramér-Rao bound; convolution theorem; M-estimator; efficient score function; martingale estimating equation; Newton-Raphson improvement; constrained autoregression

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F30: Parametric inference under constraints

62M05: Markov processes: estimation; hidden Markov models

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