Moments of AR(1)-Model Estimators

DOI10.1081/SAC-200068447MaRDI QIDQ5697366zbMATH OpenOpenAlexFDO

Authors Jan Vrbik

Publication date 17 October 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-200068447

zbMATH Keywords

first-order autoregressive modelsampling distribution momentsserial correlation estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS

Cited in

(9)

• Moments of AR(k) Parameter Estimators
• scientific article; zbMATH DE number 3915473 (Why is no real title available?)
• Calculation of the moments of sums for autoregressive processes with signum by management
• scientific article; zbMATH DE number 5836033 (Why is no real title available?)
• scientific article; zbMATH DE number 4001262 (Why is no real title available?)
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• Moments of the ARMA–EGARCH model
• Finite Sample Analysis of the First Order Autoregressive Model

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