Gaussian estimation of first order time series models with Bernoulli observations

Wei Qian

Stochastic Processes and their Applications, 1987, vol. 27, 85-96

Abstract: For AR(1) and MA(1) models with irregularly observations, introducing some integer functions, we give the expressions of the log likelihood function which make it possible to use the analysis of the autocorrelation function of a stationary process. Then, for Bernoulli sampling, we obtain the consistency and the asymptotic normality of Gaussian estimates. The idea may be used for other sampling schemes. The possibilities are discussed.

Keywords: Gaussian; estimation; Bernoulli; observation; autoregression; moving; average (search for similar items in EconPapers)
Date: 1987
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