ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS

DOI10.1111/j.1467-9892.1983.tb00358.xzbMath0511.62031OpenAlexW2062305635MaRDI QIDQ4748989

Yoshimichi Ochi

Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00358.x

zbMATH Keywords

asymptotic expansionsleast square estimatorEdgeworth approximationfirst-order autoregressive processserial correlation coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (11)

Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes ⋮ The Cornish-Fisher expansion for a class of statistics in first order autoregression ⋮ Exploring the relation between the \(r^\ast\) approximation and the Edgeworth expansion ⋮ Practical small sample inference for single lag subset autoregressive models ⋮ Higher order approximations for autocovariances from linear processes with applications ⋮ Edgeworth expansions in Gaussian autoregression ⋮ Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression ⋮ On exponential rates of estimators of the parameter in the first-order autoregressive process ⋮ Least squares estimators for unit root processes with locally stationary disturbance ⋮ Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process ⋮ Asymptotics of tests for a unit root in autoregression

Cites Work

• Unnamed Item
• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• The approximate distribution of partial serial correlation coefficients calculated from residuals from regression on Fourier series
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression

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