A note on strong consistency of least squares estimators in regression models with martingale difference errors

DOI10.1214/AOS/1176345142MaRDI QIDQ1159931zbMATH OpenOpenAlexFDO

Authors Paul I. Nelson

Publication date 1980

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345142

zbMATH Keywords

time series

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(14)

• Estimation of the variances in the branching process with immigration
• Outlier detection tests based on martingale estimating equations for stochastic processes
• Quasi-likelihood estimation for semimartingales
• Estimating functions for branching processes
• Finite sample performance of linear least squares estimation
• Asymptotic properties of conditional least-squares estimators for array time series
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Second order longitudinal dynamic models with covariates: estimation and forecasting
• On quasi‐likelihood estimation for branching processes with immigration
• Asymptotically normal estimators for the offspring mean in the branching process with immigration
• Regression analysis of stochastic fatigue crack growth model in a martingale difference framework
• The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors
• Bahadur representations of M-estimators and their applications in general linear models
• Strong consistency of the maximum quasi-likelihood estimator in quasi-likelihood nonlinear models with stochastic regression

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