Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process-Reference-Cited by-同舟云学术

Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process

Published:1984-12 Issue:1 Volume:36 Page:119-128
ISSN:0020-3157
Container-title:Annals of the Institute of Statistical Mathematics
language:en
Short-container-title:Ann Inst Stat Math

Author:

Fujikoshi Yasunori,Ochi Yoshimichi

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/BF02481958.pdf

Reference10 articles.

1. Akahira, M. (1975). A note on the second order asymptotic efficiency of estimators in an autoregressive process,Rep. Univ. Electro-comm. Sci. & Tech. Sect.,26, 143–149.

2. Akahira, M. (1979). On the second order asymptotic optimality of estimators in an autoregressive process,Rep. Univ. Electro-comm. Sci. & Tech. Sect.,29, 213–218.

3. Lecture Note in Statistics;M. Akahira,1980

4. Anderson, T. W. (1971).The Statistical Analysis of Time Series, Wiley, New York.

5. Anderson, T. W. (1974) An asymptotic expansion of the distribution of the limited information maximum likelihood estimate of a coefficient in a simultaneous equation system,J. Amer. Statist. Ass.,69, 565–573.

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