On L2 convergence of the maximum weighted pairwise likelihood estimators in the AR(1) models

Document Type : Regular Paper

Authors

1 Department of Statistics, College of Sciences, Fasa University, Fasa, Iran

2 Department of Statistics, College of Sciences, Shiraz University, Shiraz, Iran

Abstract

Recently, the strong consistency and asymptotic distribution for the maximum consecutive pairwise likelihood
estimators (MCPLE) have been established in the linear time series models. In this paper, the weak convergence
of the maximum weighted pairwise likelihood estimator (MWPLE) of the parameters of the AR(1) models is
established by using the concept of
 
􀜮􀬶 convergence (convergence in mean square).

Keywords

Iranian Journal of Science
Volume 38, Issue 3 - Serial Number 3
July and August 2014
Pages 239-241

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