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(Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, asymptotic distribution and expansion, rate of convergence)"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 4176107"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q751015$90C897BB-B283-4AD0-A8E1-9792BE9F72CA","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"f85c51031c4fe6e81031e5c02f4903f5c08685af","datavalue":{"value":{"text":"\u00c9tude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autor\u00e9gressif: convergence, normalit\u00e9 asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, asymptotic distribution and expansion, rate of convergence)","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q751015$33969632-B1B9-44A5-A1DB-8AE05729D387","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"3b078274d189d329cf0ac4bbcec2db3644129e51","datavalue":{"value":"0714.60014","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q751015$2C1A66FD-7350-4825-AC39-81A27DE171B0","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e50b98d4fe165ab872f3c9ddd85cac88503f418c","datavalue":{"value":{"entity-type":"item","numeric-id":169877,"id":"Q169877"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q751015$8347E1C7-51E4-44ED-B07F-79B04C455008","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"7211ad5ca16eb0d22cd0051fff3d0f3af254ceb6","datavalue":{"value":{"time":"+1989-00-00T00:00:00Z","timezone":0,"before":0,"after":0,"precision":9,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q751015$2D60971C-725B-4C14-AE2F-9A47FDE0C962","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"1f782613815f67db64a6a4a586a0882335699a42","datavalue":{"value":"http://www.numdam.org/item?id=AIHPB_1989__25_4_383_0","type":"string"},"datatype":"url"},"type":"statement","id":"Q751015$504FA872-04E4-45EE-A1EB-43E4B5273473","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P205","hash":"77002448ce7132a775b73d729c668fd6a820f123","datavalue":{"value":"https://eudml.org/doc/77357","type":"string"},"datatype":"url"},"type":"statement","id":"Q751015$B701E972-E553-47D5-816E-611753C6ACE0","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"3857ad39d90b79c5f059522156edda8dc03d802b","datavalue":{"value":"The authors consider the group G of all invertible matrices \\(g=\\begin{pmatrix} A(g) & b(g)\\\\ 0&1 \\end{pmatrix}\\), where \\(b(g)\\in R^ d\\) is a column, a norm \\(\\|.\\|\\) in \\(R^ d\\), a probability \\(\\mu\\) on G for which the corresponding norm \\(\\| A(g)\\|\\) is \\(\\mu -a.e.<1\\), a sequence \\(g_ n\\), \\(n\\geq 1\\), of independent \\(\\mu\\)-distributed random variables, a fixed \\(z\\in R^ d\\), the distribution \\(\\nu\\) of \\(\\sum_{k\\geq 1}A(g_ 1)...A(g_{k-1})b(g_ k)\\), \\(\\eta: G\\to [1,\\infty)\\), constants \\(c,\\gamma,\\tau >0\\), \\(\\alpha\\in (0,1]\\), a function \\(F: G\\times R^ d\\to R\\) satisfying  \\[  | F(g,x)-F(g,y)| \\leq \\eta (y)\\| x- y\\|^{\\gamma}(1+\\| x\\|^{\\tau}+\\| y\\|^{\\tau})  \\]  and  \\[  | F(g,x)| \\leq \\eta (g)(\\| x\\|^{\\gamma +\\tau}+1),  \\]  \\(\\begin{pmatrix} Y_ n\\\\ 0 \\end{pmatrix} =g_ n...g_ 1\\begin{pmatrix} z\\\\ 0\\end{pmatrix}\\) for \\(n\\geq 0\\), \\(S_ n=\\sum^{n}_{1}F(g_ k,Y_{k-1})\\), \\(e=\\int \\int Fd\\mu d\\nu\\) and impose  \\[  (*)\\quad \\int \\eta (g)^ 5(1- \\| A(g)\\|^{\\alpha})^{-5(\\gamma +\\tau)/\\alpha}\\exp (c\\| b(g)\\|^{\\alpha})d\\mu (g)<\\infty.  \\]  First they prove that \\(\\sigma^ 2=\\lim_{n} n^{-1}E((S_ n-ne)^ 2)\\) exists, does not depend on z, and, under a supplementary condition on F, is positive, and that  \\[  d(n^{-1/2}\\sigma^{-1}(S_ n-ne),N)\\leq Cn^{-1/2}(1+\\| x\\|^{\\gamma \\beta}\\exp (\\lambda \\| x\\|^{\\alpha})  \\]  with constants \\(C,\\lambda >0\\), \\(\\beta >1\\), where d is the supremum of the modulus of the difference of the distribution functions and N is standard normal. Replacing (*) by two other conditions, each containing \\(m\\geq 2\\) at the exponent, and requiring \\(\\| A(g)\\| \\leq \\rho <1\\mu\\)-a.e., they prove also that  \\[  \\sup_{n} E(| n^{- 1/2}\\sum^{n}_{1}(F(g_ k,Y_{k-1})-e)|^ m)\\leq C(1+\\| x\\|^{m(\\gamma +\\tau)}).  \\]  In the proofs they use the operators \\((U_ tf)(x)=\\int e^{itF(g,x)}f(g,x)d\\mu (g)\\) and arrange a Banach space on which \\(U_ t\\) are quasicompact etc.    Then the authors consider the particular case, corresponding to the title, of a nonrandom \\(A(g_ n)=A_{\\theta}=\\left( \\begin{matrix} \\theta \\\\ 1\\quad 0\\end{matrix} \\right)\\), where \\(\\theta =(\\theta_ 1,...,\\theta_ d)\\), \\(b(g_ n)=\\epsilon_ ne_ 1\\), \\(e_ 1=(1,0,...,0)'\\), E \\(\\epsilon\\) \\({}_ n=0\\), \\(\\max | u_ i| <1\\), where \\(u_ i\\) are the roots of \\(u^ d=\\sum \\theta_ iu^{d-i}\\). It follows that, if \\(E(\\log^+| \\epsilon_ k|)<\\infty\\), \\(\\nu\\) is the unique invariant distribution of \\(P_{\\theta}\\), where \\((P_{\\theta}f)(x)=E(f(A_{\\theta}x+\\epsilon_ ne_ 1)).\\) The previous results are applied, and for \\(m\\geq 4\\),  \\[  P(n^{- 1/2}\\sum^{n}_{1}(F(\\epsilon_ k,Y_{k-1})-e)>((m-3)\\log n)^{1/2})=o(n^{-(m-3)/2})  \\]  is established. Furthermore, supposing that \\(\\epsilon_ n\\) have a positive density f, tending to 0 at \\(\\infty\\), with a derivative satisfying \\(\\int | f'|^ rf^{1-r}<\\infty\\) with an \\(r\\geq d+1\\), and also a finite r-moment, the authors prove, denoting by \\({\\hat \\theta}{}_ n\\) the maximum likelihood estimator of \\(\\theta\\) in a \\(P_{\\theta}\\)-Markov chain starting from z, several ``statistical results''. These are: the convergence in distribution of \\(n^{1/2}({\\hat \\theta}_ n-\\theta)\\) to an \\(N(0,\\sigma^ 2)\\), the convergence of the corresponding ``absolute k-moments'' (for all k),  \\[  P(\\| {\\hat \\theta}_ n-\\theta \\| >\\rho)\\leq A_ 1\\exp (-A_ 2n)\\text{ for } every\\quad \\rho >0,  \\]  and  \\[  P(n^{1/2}\\| {\\hat \\theta}_ n-\\theta \\| >B \\log^{1/2}n)=O(n^{-1}).  \\]  Supposing the existence of \\(f^{(p+1)}\\) and the validity of other conditions in which a k appears, and writing  \\[  n^{1/2}({\\hat \\theta}_ n-\\theta)=h_ 1+...+n^{-(p-1)/2}h_ p+n^{-p/2}\\rho (n),  \\]  the authors show that  \\[  P(\\| \\rho (n)\\| >((k-2)\\log n)^{(p+1)/2})=O(n^{-(k-2)/2})  \\]  and also, for \\(p=1\\), that  \\[  d(n^{1/2}({\\hat \\theta}_ n- \\theta),N(0,\\sigma^ 2))\\leq Cn^{-1/2}\\log^{1/2}n.  \\]  The uniformity, in z (and \\(\\theta\\)) on compacts, of ``the results'' is established. Finally, a more precise result is 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