On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model

DOI10.1080/02331889008802256zbMath0716.62087OpenAlexW1966294338MaRDI QIDQ3203885

No author found.

Publication date: 1990

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889008802256

zbMATH Keywords

rates of convergencecentral limit theoremmartingale differenceleast squares estimategeneral autoregressive modelp-dimensional AR(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (4)

Risk efficient estimation of fully dependent random coefficient autoregressive models of general order ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model

Cites Work

• Unnamed Item
• Exact convergence rates in some martingale central limit theorems
• Some probabilistic inequalities for martingales
• An exact rate of convergence in the functional central limit theorem for special martingale difference arrays

This page was built for publication: On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model