Add to ORKGThis paper derives the exact distribution of the maximum likelihood estimator of a first-order linear autoregression with an exponential disturbance term. We also show that, even if the process is stationary, the estimator is T-consistent, where T is the sample size. In the unit root case, the estimator is T2-consistent, while, in the explosive case, the estimator is ρT-consistent. Further, the likelihood ratio test statistic for a simple hypothesis on the autoregressive parameter is asymptotically uniform for all values of the parameter
The aim of our paper is to present an exhaustive study of the estimation of first order autoregressi...
We consider a time-varying first-order autoregressive model with irregular innovations, where we ass...
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin–Wa...
This paper derives the exact distribution of the maximum likelihood estimator of a first-order linea...
AbstractWe consider estimates motivated by extreme value theory for the correlation parameter of a f...
SUMMARY. For the stationary first order autoregressive models with irregularly ob-served or missing ...
Numerical comparisons are made of the distribution of the estimator of the parameter in a first-orde...
This paper extends the asymptotic theory of first-order autoregres-sions driven by bounded-variance ...
We consider maximum likelihood estimation for both causal and noncausal autoregressive time series p...
This thesis proposes the global self-weighted least absolute deviation (LAD) estimator for finite an...
In this paper we consider general first order autoregression, including the stationary, the explosiv...
We apply the empirical likelihood method to estimate the variance of random coefficient in the first...
inference in autoregressive models with the potential presence of a unit root. By Anna Mikusheva 1 T...
This paper examines the problem of testing and confidence set construction for one-dimensional funct...
This paper investigates the finite sample distribution of the least squares estimator of the autoreg...
The aim of our paper is to present an exhaustive study of the estimation of first order autoregressi...
We consider a time-varying first-order autoregressive model with irregular innovations, where we ass...
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin–Wa...
This paper derives the exact distribution of the maximum likelihood estimator of a first-order linea...
AbstractWe consider estimates motivated by extreme value theory for the correlation parameter of a f...
SUMMARY. For the stationary first order autoregressive models with irregularly ob-served or missing ...
Numerical comparisons are made of the distribution of the estimator of the parameter in a first-orde...
This paper extends the asymptotic theory of first-order autoregres-sions driven by bounded-variance ...
We consider maximum likelihood estimation for both causal and noncausal autoregressive time series p...
This thesis proposes the global self-weighted least absolute deviation (LAD) estimator for finite an...
In this paper we consider general first order autoregression, including the stationary, the explosiv...
We apply the empirical likelihood method to estimate the variance of random coefficient in the first...
inference in autoregressive models with the potential presence of a unit root. By Anna Mikusheva 1 T...
This paper examines the problem of testing and confidence set construction for one-dimensional funct...
This paper investigates the finite sample distribution of the least squares estimator of the autoreg...
The aim of our paper is to present an exhaustive study of the estimation of first order autoregressi...
We consider a time-varying first-order autoregressive model with irregular innovations, where we ass...
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin–Wa...