Speed of convergence of the least-squares estimator in autoregressive models

DOI10.1016/0378-3758(94)90017-5zbMath0799.62096OpenAlexW2035758439MaRDI QIDQ1330172

Arup Bose, Ratan Dasgupta

Publication date: 20 November 1994

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90017-5

zbMATH Keywords

autoregressive modelsleast-squares estimatorBerry-Esseen boundfirst-order autoregressive processlarge deviation type results

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

Related Items (2)

Large deviations for Bayesian estimators in first-order autoregressive processes ⋮ On exponential rates of estimators of the parameter in the first-order autoregressive process

Cites Work

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• Probabilities of large deviations for martingales
• On the rate of convergence in the central limit theorem for martingales with discrete and continuous time
• Edgeworth correction by bootstrap in autoregressions
• Nonuniform central limit bounds with applications to probabilities of deviations
• Higher order approximations for autocovariances from linear processes with applications
• On large deviations
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations

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