A note on maximum likelihood estimation for the first-order autoregressive process

DOI10.1080/03610928008827969zbMath0459.62081OpenAlexW2077778435MaRDI QIDQ3909882

David P. Hasza

Publication date: 1980

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928008827969

zbMATH Keywords

time seriesmaximum likelihood estimatorclosed-form expressionstationary first-order autoregressive process

Mathematics Subject Classification ID

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

Related Items

A Note on the Estimation of Autocorrelation in Repeated Measurements ⋮ A note on maximum likelihood estimation for the complex-valued first- order autoregressive process ⋮ APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS ⋮ A new estimator for the unit root ⋮ Unnamed Item ⋮ Developments in Maximum Likelihood Unit Root Tests ⋮ On exponential rates of estimators of the parameter in the first-order autoregressive process ⋮ Asymptotic expansions for the moments of serial correlation coefficients

Cites Work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Serial Correlation and Quadratic Forms in Normal Variables
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