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Parameter Estimation in the First-order Autoregressive Process

โœ Scribed by M. Ruda


Book ID
124279865
Publisher
Oxford University Press
Year
1974
Tongue
English
Weight
251 KB
Volume
61
Category
Article
ISSN
0006-3444

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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. (~