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Register a new userControlled Mean-Reverting Estimation for The AR(1) Model with Stationary Gaussian Noise
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Added by
Chunhao Cai
Publication date
2017
fields
Mathematical Statistics
and research's language is
English
Authors
Chunhao Cai
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This paper deals with the maximum likelihood estimator for the mean-reverting parameter of a first order autoregressive models with exogenous variables, which are stationary Gaussian noises (Colored noise). Using the method of the Laplace transform, both the asymptotic properties and the asymptotic design problem of the maximum likelihood estimator are investigated. The numerical simulation results confirm the theoretical analysis and show that the proposed maximum likelihood estimator performs well in finite sample.
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