On attainable Cramèr-Rao type lower bounds for weighted loss functions

DOI10.1016/0167-7152(88)90077-6zbMath0662.62026OpenAlexW1992063067MaRDI QIDQ1113577

Piotr W. Mikulski, Michael J. Monsour

Publication date: 1988

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(88)90077-6

zbMATH Keywords

efficiencyoptimalitylower boundmaximum likelihood estimatorsfirst order autoregressive processweighted quadratic loss

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES

Cites Work

• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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