Propriétés asymptotiques presque sûres de l'estimateur des moindres carrés d'un modèle autorégressif vectoriel. (Almost sure asymptotic properties of the least squares estimators in a vectorial autoregressive model)

zbMath0741.62083MaRDI QIDQ1174523

Abderrahmen Touati, Marie Duflo, Rachid Senoussi

Publication date: 25 June 1992

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1991__27_1_1_0

zbMATH Keywords

regularitycontrollabilitypredictorstrong consistencyleast squares estimatorsspeed of convergenceconsistent estimatorsalmost sure asymptotic behaviourempirical estimator of the noise covariancescalar autoregressive modelsvectorial autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Almost sure convergence of least squares estimates for regular multivariate ARX systems ⋮ On the large deviation principle for a quadratic functional of the autoregressive process ⋮ Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ On the Almost Sure Central Limit Theorem for Vector Martingales: Convergence of Moments and Statistical Applications

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