Estimating a gradual parameter change in an AR(1)-process

DOI10.1007/s00184-021-00844-zOpenAlexW3209953275MaRDI QIDQ2167322

Zuzana Prášková, Josef G. Steinebach, Marie Hušková

Publication date: 25 August 2022

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-021-00844-z

zbMATH Keywords

consistencyasymptotic normalitychange-point estimatorconvergence rategradual changeAR(1)-process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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