Variance bounds for estimators in autoregressive models with constraints

DOI10.1080/02331888.2011.616932zbMath1327.62452OpenAlexW2084746178MaRDI 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 matrixCramér-Rao boundconvolution theoremM-estimatorefficient score functionmartingale estimating equationNewton-Raphson improvementconstrained autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference under constraints (62F30) Markov processes: estimation; hidden Markov models (62M05)

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• Asymptotic efficiency of the maximum likelihood estimator
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• Sample splitting with Markov chains

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