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ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST‐ORDER AUTOREGRESSIVE PROCESS

 

作者: Yoshimichi Ochi,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1983）
卷期: Volume 4, issue 1  

页码: 57-67

 

ISSN:0143-9782

 

年代: 1983

 

DOI:10.1111/j.1467-9892.1983.tb00358.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Autoregressive process;asymptotic expansion;edgeworth approximation;least square estimator;serial correlation coefficient

 

数据来源: WILEY

 

摘要:

Abstract.In this paper, two asymptotic expansions for the distribution for an estimator of the parameter in a first‐order autoregressive process are derived, according to two situations. Some well known estimators are special cases of the estimator discussed here. The series expansions are carried to terms of orderT

 

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