A minimum distance estimator for first-order autoregressive processes

DOI10.1214/AOS/1176350058zbMath0607.62102OpenAlexW2028213594MaRDI QIDQ1085554

Chamont W. H. Wang

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350058

zbMATH Keywords

empirical processLipschitz conditionergodic processesasymptotically normalbounded functionals on L sup 2-spacesfirst-order stationary autoregressive modelminimum distance Cramér-von Mises-type estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Stationary stochastic processes (60G10)

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