On exponential rates of estimators of the parameter in the first-order autoregressive process

Yoshihide Kakizawa

Statistics & Probability Letters, 1998, vol. 38, issue 4, 355-362

Abstract: A closed-form expression for the exponential rate of an estimator in the Gaussian AR(1) process is obtained. This shows that the exponential rates of several famous estimators are all identical. Further it is shown that mean-correction does not affect the large deviation asymptotics.

Keywords: Exponential; rate; of; estimator; Gaussian; AR(1); process; Large; deviation; probability; Quadratic; form (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (1)

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