Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors

J. Zhou and I. V. Basawa

Journal of Time Series Analysis, 2005, vol. 26, issue 6, 825-842

Abstract: Abstract. 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.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2005.00440.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:6:p:825-842

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().