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Optimality of the Maximum Likelihood Estimator in AR (p) Model Under a General Set-Up of the Roots

Calcutta Statistical Association Bulletin

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Research article

First published online March, 1992

Optimality of the Maximum Likelihood Estimator in AR (p) Model Under a General Set-Up of the Roots

and

Volume 42, Issue 1-2

https://doi.org/10.1177/0008068319920101

Abstract

Keywords

Multiple autoregressive process Maximum Likelihood esti-mator Least-square Estimator Optimality Ellipsoid of concentration Uniform integrability Cramer—Rao lower bound.

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