Estimation for first-order autoregressive processes with positive or bounded innovations

DOI10.1016/0304-4149(89)90090-2zbMATH Open0692.62070OpenAlexW2079369736MaRDI QIDQ583792FDOQ583792

Authors: W. P. McCormick, Richard A. Davis 

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90090-2

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zbMATH Keywords

limit distributionuniform distributionextreme value theoryexponential distributionmaximum likelihood estimatorsleast squares estimatorcorrelation parameterexponent of regular variationfirst order autoregression processinnovation distributionpoint process methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Cites Work

• Maximum likelihood estimation in a class of nonregular cases
• Title not available (Why is that?)
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
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• Weak convergence results for extremal processes generated by dependent random variables
• First-order autoregressive gamma sequences and point processes
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• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
• Maximum likelihood estimation of translation parameter of truncated distribution. II
• Title not available (Why is that?)
• An exponential moving-average sequence and point process (EMA1)
• Dams with autoregressive inputs

Cited In (28)

• Large deviations for Bayesian estimators in first-order autoregressive processes
• Finite-sample properties of estimators for first and second order autoregressive processes
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• Likelihood analysis of a first‐order autoregressive model with exponential innovations
• Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations
• Recursive max-linear models with propagating noise
• A bootstrap approximation to the joint distribution of sum and maximum of a stationary sequence
• Estimation for a class of positive nonlinear time series models
• Estimation of the first-order autoregressive model with contaminated exponential white noise
• The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure
• A characterization of the innovations of first order autoregressive models
• Bayesian prediction in threshold autoregressive models with exponential white noise
• Linear programming-based estimators in simple linear regression
• Estimation of the index parameter for autoregressive data using the estimated innovations
• A note on maximum autoregressive processes of order one
• Irregular nonparametric autoregression
• Limit distributions for linear programming time series estimators
• Inference and martingale estimating equations for stochastic processes on a semigroup
• On robust estimation in the first order autoregressive processes
• Predictor selection for positive autoregressive processes
• Sequential estimation for dependent oberservations with an application to non-standard autoregressive processes
• Parameter estimation for first-order bifurcating autoregressive processes with Weibull innova\-tions
• Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
• Estimation for non-negative time series with heavy-tail innovations
• Estimation for autoregressive processes with positive innovations
• Parameter estimation for some time series models without contiguity
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
• An estimator for parameters of a nonlinear nonnegative multidimensional AR(1) process

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