The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances

DOI10.2307/2346228zbMath0436.62077OpenAlexW2474605018MaRDI QIDQ3876878

Dale J. Poirier

Publication date: 1978

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2346228

zbMATH Keywords

Kalman filteringregression modelsfirst-order autoregressive disturbancesrecursive residualeffect of first observation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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