An extension of Lai and Wei's law of the iterated logarithm with applications to time series analysis and regression

DOI10.1016/0047-259X(90)90071-OzbMath0695.60038MaRDI QIDQ910090

Zhao-Guo Chen

Publication date: 1990

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

zbMATH Keywords

regression modelsiterated logarithmleast square estimatesspectral analysis of time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15)

Related Items (8)

Iterated logarithm law for sample generalized partial autocorrelations ⋮ Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors ⋮ Uniform convergence rate of estimators of autocovariances in partly linear regression models with correlated errors ⋮ A law of the iterated logarithm for kernel estimators of regression functions ⋮ Asymptotics of estimators in semi-parametric model under NA samples ⋮ Asymptotic Properties of the ISE in Nonparametric Regressions with Serially Correlated Errors ⋮ PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS ⋮ CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS

Cites Work

• Strong consistency of least squares estimates in multiple regression II
• A law of the iterated logarithm for double arrays of independent random variables with applications to regression and time series models
• Consistent estimates for hidden frequencies in a linear process
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