Moments of AR(1)-Model Estimators

DOI10.1081/SAC-200068447zbMATH Open1072.62084OpenAlexW2061929134MaRDI QIDQ5697366FDOQ5697366

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

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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)

Cites Work

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

Cited In (8)

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• Calculation of the moments of sums for autoregressive processes with signum by management
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• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Moments of the ARMA–EGARCH model
• Finite Sample Analysis of the First Order Autoregressive Model

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