Gaussian likelihood estimation for nearly nonstationary AR(1) processes
type: Item
instance of: scholarly article
title: Gaussian likelihood estimation for nearly nonstationary AR(1) processes
zbMATH Open document ID: 0729.62077
author: Dennis D. Cox
published in: The Annals of Statistics
publication date: 1991-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 4205670
zbMATH Keywords: three-parameter first-order autoregressive model
zbMATH Keywords: nearly nonstationary asymptotic model
zbMATH Keywords: Gaussian maximum likelihood estimator
zbMATH Keywords: conditional maximum likelihood
zbMATH Keywords: least squares estimator
zbMATH Keywords: continuous-time Ornstein- Uhlenbeck process
zbMATH Keywords: asymptotic mean squared error
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176348241
OpenAlex ID: W2071679462
DOI: 10.1214/AOS/1176348241
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description: scientific article; zbMATH DE number 4205670