๐”– Bobbio Scriptorium
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A note on recursive maximum likelihood for autoregressive modeling

โœ Scribed by Vis, M.L.; Scharf, L.L.


Book ID
119789932
Publisher
IEEE
Year
1994
Tongue
English
Weight
242 KB
Volume
42
Category
Article
ISSN
1053-587X

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On maximum likelihood estimators for a t
โœ Lianfen Qian ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 188 KB

For a stationary ergodic self-exciting threshold autoregressive model with single threshold parameter, Chan (1993) obtained the consistency and limiting distribution of the least-squares estimator for the underlying true parameters. In this paper, we derive the similar results for the maximum likeli