On the asymptotic efficiency of estimators in an autoregressive process-Reference-Cited by-同舟云学术

On the asymptotic efficiency of estimators in an autoregressive process

Published:1976-12 Issue:1 Volume:28 Page:35-48
ISSN:0020-3157
Container-title:Annals of the Institute of Statistical Mathematics
language:en
Short-container-title:Ann Inst Stat Math

Author:

Akahira Masafumi

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/BF02504729.pdf

Reference11 articles.

1. Akahira, M. (1975a). Asymptotic theory for estimation of location in non-regular cases, I: Order of convergence of consistent estimators,Rep. Statist. Appl. Res. JUSE,22, 8–26.

2. Akahira, M. (1975b). A note on the second order asymptotic efficiency of estimators in an autoregressive process,Rep. Univ. Electro-Comm.,26–1, 143–149.

3. Akahira, M. (1975c). Asymptotic theory for estimation of location in non-regular cases, II: Bounds of asymptotic distributions of consistent estimators,Rep. Statist. Appl. Res. JUSE,22, 101–117.

4. Akahira, M. and Takeuchi, K. (1976). On the second order asymptotic efficiency of estimators in multiparameter cases,Rep. Univ. Electro-Comm.,26–2 261–269.

5. Anderson, T. W. (1959). On asymptotic distributions of estimates of parameters of stochastic difference equations,Ann. Math. Statist.,30, 676–687.

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1. LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS;JOURNAL OF THE JAPAN STATISTICAL SOCIETY;1996

2. An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process;Annals of the Institute of Statistical Mathematics;1994-06

3. A characterization of limiting distributions of estimators in an autoregressive process;Annals of the Institute of Statistical Mathematics;1986-12

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