A note on maximum likelihood estimation for the complex-valued first- order autoregressive process

DOI10.1016/0167-7152(88)90045-4zbMath0662.62095OpenAlexW2158436791MaRDI QIDQ1113596

Alain Le Breton

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)90045-4

zbMATH Keywords

maximum likelihood estimationlikelihood functionclosed-form expressioncomplex-valued zero-mean normal stationary first-order autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Cites Work

• Unnamed Item
• A note on maximum likelihood estimation for the first-order autoregressive process
• Asymptotic expansions for the mean and variance of the serial correlation coefficient

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