MAXIMUM LIKELIHOOD ESTIMATION FOR A FIRST-ORDER BIFURCATING AUTOREGRESSIVE PROCESS WITH EXPONENTIAL ERRORS

J. ZHOU; I. V. BASAWA

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MAXIMUM LIKELIHOOD ESTIMATION FOR A FIRST-ORDER BIFURCATING AUTOREGRESSIVE PROCESS WITH EXPONENTIAL ERRORS

机译：一阶带指数误差的自回归过程的最大似然估计

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摘要

Exact and asymptotic distributions of the maximum likelihood estimator of the autoregressive parameter in a first-order bifurcating autoregressive process with exponential innovations are derived. The limit distributions for the stationary, critical and explosive cases are unified via a single pivot using a random normalization. The pivot is shown to be asymptotically exponential for all values of the autoregressive parameter.

机译：推导了具有指数创新的一阶分叉自回归过程中自回归参数最大似然估计的精确和渐近分布。通过使用随机归一化的单个枢轴统一固定，关键和爆炸案件的极限分布。对于自回归参数的所有值，枢轴显示为渐近指数。

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来源
《Journal of Time Series Analysis》 |2005年第6期|p.825-842|共18页
作者
J. ZHOU; I. V. BASAWA;
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作者单位

University of Georgia;

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原文格式 PDF
正文语种 eng
中图分类数理科学和化学;
关键词
bifurcating autoregression; exponential innovations; maximum likelihood; exact distribution; limit distribution; non-standard asymptotics;

机译：分叉自回归;指数创新;最大似然;精确分布;极限分布;非标准渐近性;

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MAXIMUM LIKELIHOOD ESTIMATION FOR A FIRST-ORDER BIFURCATING AUTOREGRESSIVE PROCESS WITH EXPONENTIAL ERRORS

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