Abstract
In this paper we construct a class of minimum distance Cramer-von Mises-type estimators for the parameter in the first-order stationary autoregressive time series. The estimator is proved to be asymptotically normal under appropriate assumptions. The proofs involve some results of independent interest.
Citation
Chamont W. H. Wang. "A Minimum Distance Estimator for First-Order Autoregressive Processes." Ann. Statist. 14 (3) 1180 - 1193, September, 1986. https://doi.org/10.1214/aos/1176350058
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