Article ID: | iaor1997783 |
Country: | United States |
Volume: | 14 |
Issue: | 3/4 |
Start Page Number: | 327 |
End Page Number: | 347 |
Publication Date: | Jul 1994 |
Journal: | American Journal of Mathematical and Management Sciences |
Authors: | Monsour Michael J., Mikulski Piotr W. |
The limiting distribution for the MLE of the parameter in the AR(1) process, when properly normalized, is well known. For the boundary case, the limiting distribution involves integrals of a standard Brownian motion process. This paper presents the first six moments and a partial Edgeworth expansion of the limiting distribution for the boundary case.