Maximum likelihood type estimation for nearly nonstationary autoregressive time series (Q1178936)
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scientific article; zbMATH DE number 23614
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood type estimation for nearly nonstationary autoregressive time series |
scientific article; zbMATH DE number 23614 |
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Maximum likelihood type estimation for nearly nonstationary autoregressive time series (English)
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26 June 1992
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non-Gaussian time series
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nearly nonstationary first-order autoregression
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sequence of autoregressive processes
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i.i.d. mean zero shocks
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maximum likelihood type estimators
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\(M\) estimators
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score function
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limiting distribution
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stochastic integrals
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shock density
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minimizing asymptotic mean squared error
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maximum likelihood score
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least squares score
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asymptotic efficiency
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0.94719565
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0.9169335
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