Asymptotic Properties of the LS-estimator of a Gaussian Autoregressive Process by an Averaging Method
DOI10.1080/03610926.2011.621576zbMath1281.62195OpenAlexW2037042698MaRDI QIDQ2865264
Publication date: 29 November 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.621576
asymptotic properties of estimatorsquadratic strong lawalmost-sure central limit theoremweighted LS-estimator
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15) Asymptotic properties of parametric tests (62F05)
Cites Work
- Limiting distributions of least squares estimates of unstable autoregressive processes
- About the asymptotic behaviour of multidimensional Gaussian martingales and estimates in normal linear regression
- Invariance principles with logarithmic averaging for continuous local martingales
- On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\))
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- On averaging methods for identification of linear regression models
- Théorèmes limites avec poids pour les martingales vectorielles à temps continu
- Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth
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