๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER

โœ Scribed by Jeffrey B. Birch; R. Douglas Martin


Book ID
111039397
Publisher
John Wiley and Sons
Year
1981
Tongue
English
Weight
657 KB
Volume
2
Category
Article
ISSN
0143-9782

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On exponential rates of estimators of th
โœ Yoshihide Kakizawa ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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. (~