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A characterization of limiting distributions of estimators in an autoregressive process

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Summary

Let the random variablesX1,X2, ...,X n be generated by the first-order autoregressive modelX i =θX i−1 +e i wheree i ,i=1, 2, ...,n, are i.i.d. random variables with mean zero, variance σ2, and with unspecified density functiong(·). In the present paper we obtain a characterization of limiting distributions of nonparametric and parametric estimators of θ as well as a local asymptotic minimax bound of the risks of estimators.

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Authors and Affiliations

  1. Lehigh University, Lehigh, UK

    Wei-Min Huang

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  1. Wei-Min Huang
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Huang, WM. A characterization of limiting distributions of estimators in an autoregressive process. Ann Inst Stat Math 38, 137–144 (1986). https://doi.org/10.1007/BF02482506

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  • DOI: https://doi.org/10.1007/BF02482506

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