Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process

DOI10.1080/01966324.1994.10737382zbMath0821.62053OpenAlexW2331852901WikidataQ58145874 ScholiaQ58145874MaRDI QIDQ4842700

Piotr W. Mikulski, Michael J. Monsour

Publication date: 3 October 1995

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.1994.10737382

zbMATH Keywords

limiting distributionmaximum likelihood estimatorsconvergence of momentsfirst order autoregressive processAR(1) processfirst six momentspartial Edgeworth expansion

Mathematics Subject Classification ID

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

Related Items (2)

Bartlett corrections in cointegration testing ⋮ OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES

Cites Work

• Unnamed Item
• Linear stochastic systems with constant coefficients. A statistical approach
• Estimation of the parameters of stochastic difference equations
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• On the Statistical Treatment of Linear Stochastic Difference Equations

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