Strong convergence of estimators in nonlinear autoregressive models
From MaRDI portal
Publication:1873108
DOI10.1016/S0047-259X(02)00022-2zbMath1026.62088OpenAlexW2046512769MaRDI QIDQ1873108
Publication date: 19 May 2003
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0047-259x(02)00022-2
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
Law of the iterated logarithm for error density estimators in nonlinear autoregressive models ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ Testing nonstationary and absolutely regular nonlinear time series models ⋮ Strong convergence of estimators as \(\varepsilon_n\)-minimisers of optimisation problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating linear representations of nonlinear processes
- Consistent estimators in nonlinear regression for a noncompact parameter space
- Estimation in nonlinear time series models
- Asymptotic theory of nonlinear least squares estimation
- Asymptotic analysis of stochastic programs
- Nonparametric curve estimation from time series
- On conditional least squares estimation for stochastic processes
- Asymptotic behavior of M-estimators for the linear model
- Large sample inference based on multiple observations from nonlinear autoregressive processes
- Mixing: Properties and examples
- Consistency of \(M\)-estimates in general regression models
- Quantitative stability in stochastic programming
- Some strong limit theorems for M-estimators
- Strong convergence of sums of \(\alpha \)-mixing random variables with applications to density estimation
- A class of partially adaptive one-step M-estimators for a nonlinear regression model with dependent observations
- Bahadur-Kiefer representations for GM-estimators in autoregression models
- Asymptotic properties of nonlinear least squares estimates in stochastic regression models
- The functional law of the iterated logarithm for stationary strongly mixing sequences
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Non-linear time series and Markov chains
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- A multiple-threshold AR(1) model
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
- General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
- Asymptotic Properties of Non-Linear Least Squares Estimators
- The Consistency of Nonlinear Regressions
- Robust Statistics
This page was built for publication: Strong convergence of estimators in nonlinear autoregressive models