About the asymptotic behaviour of multidimensional Gaussian martingales and estimates in normal linear regression

DOI10.1016/0167-7152(91)90099-DzbMath0742.60047OpenAlexW2036539706MaRDI QIDQ1181124

Alain Le Breton, A. R. Darwich

Publication date: 27 June 1992

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(91)90099-d

zbMATH Keywords

large deviationlaw of iterated logarithmGaussian martingalesparameter estimates in regression model

Mathematics Subject Classification ID

Strong limit theorems (60F15) Martingales with continuous parameter (60G44)

Related Items (2)

On sequential estimation of parameters in semimartingale regression models with continuous time parameter. ⋮ Asymptotic Properties of the LS-estimator of a Gaussian Autoregressive Process by an Averaging Method

Cites Work

• Laws of large numbers for semimartingales with applications to stochastic regression
• A strong law of large numbers for vector Gaussian martingales and a statistical application in linear regression
• Quasi-least-squares estimation in semimartingale regression models
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