Parameter estimation for some time series models without contiguity

Richard A. Davis and Murray Rosenblatt

Statistics & Probability Letters, 1991, vol. 11, issue 6, 515-521

Abstract: A discussion is given of some time series models driven by iid noise having a discrete component. In the case of autoregressive processes, estimates can be formulated which, with probability one, are equal to the true parameter values for a large enough sample. Remarks on the contiguity of the distribution of an autoregressive process with discrete noise are also made.

Keywords: Autoregressive; processes; linear; processes; contiguity (search for similar items in EconPapers)
Date: 1991
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