Moments of the limiting distribution for the boundary case in the first order autoregressive process

Moments of the limiting distribution for the boundary case in the first order autoregressive process

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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: ,
Abstract:

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.

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