Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process

DOI10.1007/BF02481958zbMath0553.62081MaRDI QIDQ802264

Yoshimichi Ochi, Yasunori Fujikoshi

Publication date: 1984

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionmaximum likelihood estimatefirst order autoregressive processleast square estimatefirst order Gaussian processprobability of concentrationthird order asymptotic median unbiased estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes, Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes, Contributions to multivariate analysis by Professor Yasunori Fujikoshi, APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS, Bias-correction of some estimators in the INAR(1) process, Practical small sample inference for single lag subset autoregressive models, Second-order robustness for time series inference, Higher order approximations for autocovariances from linear processes with applications, Unnamed Item, Regression with autoregressive errors-some asymptotic results, QML estimators in linear regression models with functional coefficient autoregressive processes, On exponential rates of estimators of the parameter in the first-order autoregressive process, THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN

Cites Work

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• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS