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ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST‐ORDER AUTOREGRESSIVE PROCESS
Author(s) -
Ochi Yoshimichi
Publication year - 1983
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1983.tb00358.x
Subject(s) - mathematics , autoregressive model , estimator , asymptotic distribution , star model , series (stratigraphy) , asymptotic analysis , distribution (mathematics) , setar , statistics , econometrics , time series , autoregressive integrated moving average , mathematical analysis , paleontology , biology
. 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 order T ‐1 .