Maximum likelihood type estimation for nearly nonstationary autoregressive time series

DOI10.1214/aos/1176348240zbMath0742.62084OpenAlexW2039329707MaRDI QIDQ1178936

Dennis D. Cox, Isabel Llatas

Publication date: 26 June 1992

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

Full work available at URL: https://doi.org/10.1214/aos/1176348240

zbMATH Keywords

asymptotic efficiencylimiting distributionstochastic integralsscore functionnon-Gaussian time series\(M\) estimatorsi.i.d. mean zero shocksleast squares scoremaximum likelihood scoremaximum likelihood type estimatorsminimizing asymptotic mean squared errornearly nonstationary first-order autoregressionsequence of autoregressive processesshock density

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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