On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\))

DOI10.1016/S0047-259X(03)00081-2zbMath1110.62107OpenAlexW2038420431MaRDI QIDQ1888325

Victor Konev, Leonid I. Galtchouk

Publication date: 23 November 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00081-2

zbMATH Keywords

Autoregressive processSequential estimationLeast-squares estimatorUniform asymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (4)

On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\) ⋮ Authors' Response ⋮ Editor's Special Invited Paper: Sequential Estimation for Time Series Models ⋮ Asymptotic Properties of the LS-estimator of a Gaussian Autoregressive Process by an Averaging Method

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