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Parameter estimation in first-order autoregressive model for statistical process monitoring in the presence of data autocorrelation

โœ Scribed by Thaung Lwin

Book ID
108193533
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
377 KB
Volume
141
Category
Article
ISSN
0378-3758

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On exponential rates of estimators of the parameter in the first-order autoregressive process
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. (~