Parameter estimation for some time series models without contiguity

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.

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Year of publication:	1991
Authors:	Davis, Richard A. ; Rosenblatt, Murray
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 11.1991, 6, p. 515-521
Publisher:	Elsevier
Subject:	Autoregressive processes linear processes contiguity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005319460