ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST‐ORDER AUTOREGRESSIVE PROCESS

Yoshimichi Ochi

Journal of Time Series Analysis, 1983, vol. 4, issue 1, 57-67

Abstract: Abstract. 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.

Date: 1983
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