DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Statistical tables (62Q05)

Related Items (3)

A small sample confidence interval for autoregressive parameters ⋮ Effect of autocorrelation estimators on the performance of the X̄ control chart ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

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