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

DOI10.1007/BF02481958zbMATH Open0553.62081MaRDI QIDQ802264FDOQ802264

Authors: Yasunori Fujikoshi, Yoshimichi Ochi 

Publication date: 1984

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

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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)

Cites Work

• Title not available (Why is that?)
• Approximations for densities of sufficient estimators
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Title not available (Why is that?)
• An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS

Cited In (20)

• Finite-sample properties of estimators for first and second order autoregressive processes
• Title not available (Why is that?)
• Optimality of the Maximum Likelihood Estimator in AR (p) Model Under a General Set-Up of the Roots
• Higher order approximations for autocovariances from linear processes with applications
• Second-order robustness for time series inference
• Contributions to multivariate analysis by Professor Yasunori Fujikoshi
• Title not available (Why is that?)
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• On exponential rates of estimators of the parameter in the first-order autoregressive process
• QML estimators in linear regression models with functional coefficient autoregressive processes
• The distribution of the maximum of a first order autoregressive process: The continuous case
• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Bias-correction of some estimators in the INAR(1) process
• Regression with autoregressive errors-some asymptotic results
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
• THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN
• Practical small sample inference for single lag subset autoregressive models
• A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes

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