Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
复制标题
一阶自回归过程中边界情况的极限分布矩
DOI：
10.1080/01966324.1994.10737382
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发表时间：
1994
期刊：
影响因子：
--
通讯作者：
P. W. Mikulski
中科院分区：
文献类型：
--
作者：
M. Monsour;P. W. Mikulski
天气学摘要AR(1)过程中参数的最大似然估计的极限分布，当适当归一化时，是众所周知的。对于边界情况，极限分布涉及标准布朗运动过程的积分。本文给出了边界条件下极限分布的前六阶矩和部分Edgeworth展开式。
SYNOPTIC ABSTRACTThe limiting distribution for the MLE of the parameter in the AR(1) process, when properly normalized, is well known. For the boundary case, the limiting distribution involves integrals of a standard Brownian motion process. This paper presents the first six moments and a partial Edgeworth expansion of the limiting distribution for the boundary case.