𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A characterization of limiting distributions of estimators in an autoregressive process

✍ Scribed by Wei-Min Huang

Publisher
Springer Japan
Year
1986
Tongue
English
Weight
436 KB
Volume
38
Category
Article
ISSN
0020-3157

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A characterization of a gaussian process
A characterization of a gaussian process in terms of sufficient estimators
✍ P. Ibarrola; A. PΓ©rez-Palomares πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 151 KB

In this paper we consider the estimation problem in a continuous time linear model. We establish that, under certain covariance structure of the process, if the best linear unbiased estimator for the expectation of the process is sufficient then the process involved has a Gaussian distribution. In p

On exponential rates of estimators of th
On exponential rates of estimators of the parameter in the first-order autoregressive process
✍ Yoshihide Kakizawa πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 354 KB

A closed-form expression for the exponential rate of an estimator in the Gaussian AR(1) process is obtained. This shows that the exponential rates of several famous estimators are all identical. Further it is shown that mean-correction does not affect the large deviation asymptotics. (~

Simulation of a stationary autoregressio
Simulation of a stationary autoregression: A characterization of the normal distribution
✍ Eddie McKenzie πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 257 KB

Simulating a stationary AR(p), Xt -~'t ~Xt ~ +Z, when the innovations {Z,} are assumed to be i.i.d, is straightforward. Starting the process in the stationary state, however, requires generation of (X1,X~ ..... Xp) from the stationary p-dimensional distribution. When Zt is normal this may be achieve