Parameter Estimation and Asymptotic Properties for a Simplfied New Laplace AR(1) Model
一个简化的新Laplace AR(1)模型 参数估计及其渐近性质

In this paper, conditional least squares estimation and maximum quasi-likelihood estimation are studied for a simplfied new Laplace AR(1) model, and their consistency and asymptotic normality are also considered. The simulation results show that maximum quasi-likelihood estimation dominates conditional least squares estimation via simulation.