Gaussian estimation of first order time series models with Bernoulli observations

DOI10.1016/0304-4149(87)90007-XzbMath0636.62093MaRDI QIDQ1098210

Qian Wei

Publication date: 1987

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

zbMATH Keywords

consistencyasymptotic normalityautocorrelation functionstationary processGaussian estimatesautoregressionmoving averageinteger functionslog likelihood functionBernoulli samplingsampling schemesAR(1) and MA(1) modelsfirst order time series modelsirregularly observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Estimation of the parameters of a multidimensional autoregression model with missing measurements

Cites Work

• A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times
• FIRST ORDER AUTO-REGRESSIVE MODEL PARAMETER ESTIMATION WITH PERIODIC OBSERVATIONS
• Vector linear time series models
• The asymptotic theory of linear time-series models
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