On least squares estimation for stable nonlinear AR processes

DOI10.1023/A:1004117906532zbMath0959.62077OpenAlexW2068375288MaRDI QIDQ1585890

Jian-feng Yao

Publication date: 2 May 2001

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1004117906532

zbMATH Keywords

model selectionlaw of the iterated logarithmmultilayer perceptronleast squares estimationnonlinear AR process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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