Optimality of the Maximum Likelihood Estimator in AR (p) Model Under a General Set-Up of the Roots

DOI10.1177/0008068319920101zbMath0763.62044OpenAlexW2507853701MaRDI QIDQ4032369

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Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1177/0008068319920101

zbMATH Keywords

uniform integrabilitymaximum likelihood estimatorcharacteristic equationleast-squares estimatorCramér-Rao lower boundautoregressive processGaussian innovationsellipsoid of concentrationmultiple autoregressive processesoptimality of the maximum likelihood estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Sequential estimation (62L12)

Related Items (1)

Sequential estimation of the autoregressive parameters in ar(p) model

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