Asymptotic behaviour of the least squares estimator of the mean of AR(1) models

DOI10.1023/B:ANAM.0000005368.92998.04zbMATH Open1048.62081MaRDI QIDQ1882114

Yanyan Li

Publication date: 19 October 2004

Published in: Analysis Mathematica (Search for Journal in Brave)

zbMATH Keywords

least squares estimatorAR(1) modelshift parameternearly explosivenearly stablenearly unstable

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)

Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

This page was built for publication: Asymptotic behaviour of the least squares estimator of the mean of AR(1) models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1882114)