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On the asymptotic efficiency of estimators in an autoregressive process

โœ Scribed by Masafumi Akahira


Publisher
Springer Japan
Year
1976
Tongue
English
Weight
570 KB
Volume
28
Category
Article
ISSN
0020-3157

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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. (~