Approximations to the distribution of the least squares estimator in a first order stationary autoregressive model

DOI10.1080/03610919208813029zbMath0850.62191OpenAlexW2012121445MaRDI QIDQ4019323

Mukhtar M. Ali, Albert K. Tsui

Publication date: 16 January 1993

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919208813029

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17) Statistical tables (62Q05)

Related Items (3)

DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL ⋮ CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

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