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Gaussian estimation of first order time series models with Bernoulli observations

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  • Qian, Wei
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    Abstract

    For AR(1) and MA(1) models with irregularly observations, introducing some integer functions, we give the expressions of the log likelihood function which make it possible to use the analysis of the autocorrelation function of a stationary process. Then, for Bernoulli sampling, we obtain the consistency and the asymptotic normality of Gaussian estimates. The idea may be used for other sampling schemes. The possibilities are discussed.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 27 (1987)
    Issue (Month): ()
    Pages: 85-96

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    Handle: RePEc:eee:spapps:v:27:y:1987:i::p:85-96

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    Related research

    Keywords: Gaussian estimation Bernoulli observation autoregression moving average;

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