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September, 1986 A Minimum Distance Estimator for First-Order Autoregressive Processes
Chamont W. H. Wang
Ann. Statist. 14(3): 1180-1193 (September, 1986). DOI: 10.1214/aos/1176350058


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.


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Chamont W. H. Wang. "A Minimum Distance Estimator for First-Order Autoregressive Processes." Ann. Statist. 14 (3) 1180 - 1193, September, 1986.


Published: September, 1986
First available in Project Euclid: 12 April 2007

zbMATH: 0607.62102
MathSciNet: MR856814
Digital Object Identifier: 10.1214/aos/1176350058

Primary: 62L10

Keywords: bounded functionals on $L_2$-spaces , conditional expectation , Lipschitz condition , Randomly weighted empirical processes , stationary and ergodic processes

Rights: Copyright © 1986 Institute of Mathematical Statistics

Vol.14 • No. 3 • September, 1986
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