Finite Sample Analysis of the First Order Autoregressive Model

DOI10.1177/0008068319850105zbMath0607.62103OpenAlexW2511511366MaRDI QIDQ3746729

Asraul Hoque

Publication date: 1985

Published in: Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/0008068319850105

zbMATH Keywords

ordinary least squares estimatorOLS estimatorintercept termfirst order moving averageexact first and second moments

Mathematics Subject Classification ID

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

Related Items

The exact multi-period mean-square forecast error for the first-order autoregressive model, On fixed accuracy confidence interval in multivariate normal distribution with order 1 autoregressive covariance structure, Locally most powerful test for the random coefficient autoregressive model