Strong consistency of least squares estimates in dynamic models
From MaRDI portal
Publication:1258149
DOI10.1214/aos/1176344670zbMath0407.62040OpenAlexW1975687805MaRDI QIDQ1258149
T. W. Anderson, John B. Taylor
Publication date: 1979
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176344670
Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Strong limit theorems (60F15)
Related Items (37)
Extension of Lai-Robbins-Wei's theorem ⋮ ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS ⋮ A Bayesian stochastic approximation method ⋮ On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\)) ⋮ Conditional least squares estimation in nonstationary nonlinear stochastic regression models ⋮ Laws of large numbers for semimartingales with applications to stochastic regression ⋮ Inequalities for sums of matrix quadratic forms ⋮ Parametric and nonparametric curve fitting ⋮ Asymptotics of the signed-rank estimator under dependent observations ⋮ Moment estimator for an AR(1) model driven by a long memory Gaussian noise ⋮ An inequality for a sum of quadratic forms with applications to probability theory ⋮ Maximum likelihood estimation for linear regression models with autoregressive errors ⋮ A stochastic contraction mapping theorem ⋮ Convergence systems and strong consistency of least squares estimates in regression models ⋮ Asymptotic properties of the maximum likelihood estimator in dichotomous logit models ⋮ Strong consistency of the general rank estimator ⋮ Lacunary systems and generalized linear processes ⋮ Strong consistency of least squares estimates in multiple regression models with random regressors ⋮ Asymptotic properties of projections with applications to stochastic regression problems ⋮ On the calculation of cumulants of estimators arising from a linear time series regression model ⋮ On the convergence of Bayesian posterior processes in linear economic models. Counting equations and unknowns ⋮ On regression adjustments to experimental data ⋮ Heteroskedastic cointegration ⋮ Empirical Likelihood for First-order Autoregressive Error-in-variable of Models With Validation Data ⋮ Non-asymptotic sequential confidence regions with fixed sizes for the multivariate nonlinear parameters of regression ⋮ Stochastic approximation ⋮ Some strong consistency results in stochastic regression ⋮ Asymptotic Properties of the MLE in Nonlinear Reproductive Dispersion Models With Stochastic Regressors ⋮ Empirical Likelihood for an Autoregressive Model with Explanatory Variables ⋮ Nonasymptotic confidence sets of prescribed dimensions for parameters of nonlinear regressions ⋮ Strong consistency of maximum quasi-likelihood estimators in generalized linear models with fixed and adaptive designs ⋮ Identification of multiscale spatio-temporal dynamical systems using a wavelet multiresolution analysis ⋮ Regression analysis of stochastic fatigue crack growth model in a martingale difference framework ⋮ Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes ⋮ Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters ⋮ Empirical likelihood confidence regions for autoregressive models with explanatory variables ⋮ Strong consistency in nonlinear stochastic regression models.
This page was built for publication: Strong consistency of least squares estimates in dynamic models
