On the estimation of an autoregressive parameter on the basis of the generalized method of least squares

DOI10.1070/RM1995V050N06ABEH002650zbMath0852.62071OpenAlexW2000515864MaRDI QIDQ4891250

Serguei Pergamenchtchikov, Victor Konev

Publication date: 15 October 1996

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1995v050n06abeh002650

zbMATH Keywords

noiseuniform asymptotic normalityfirst-order autoregressive processgeneralized method of least squares

Mathematics Subject Classification ID

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

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