On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models

DOI10.1214/aos/1176350962zbMath0666.62031OpenAlexW2076843122MaRDI QIDQ1116582

P. Jeganathan

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350962

zbMATH Keywords

local asymptotic normalityautoregressive modelslikelihood functionGaussian distributionssample autocovariancesexplosive autoregressive modelStrong convergenceasymptotic equivariancedistributions of least squares estimatorsgeneral M-estimatorssmoothness of the likelihoodstationary autoregressive casestrongly asymptotically shift equivariance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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