On the asymptotic efficiency of estimators in an autoregressive process

DOI10.1007/BF02504729zbMath0362.62092MaRDI QIDQ1240006

Masafumi Akahira

Publication date: 1976

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items

A characterization of limiting distributions of estimators in an autoregressive process ⋮ An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process ⋮ ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS

Cites Work

• The central limit theorem for dependent random variables
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On Fisher's Bound for Asymptotic Variances
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