Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method

DOI10.1080/03610926.2011.621576zbMATH Open1281.62195OpenAlexW2037042698MaRDI QIDQ2865264FDOQ2865264

Authors: Hamdi Fathallah 

Publication date: 29 November 2013

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.621576

Recommendations

• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• Propriétés asymptotiques des estimateurs du gradient et du gradient moyennisé pour les modèles autorégressifs stables
• Identification of a stable Gaussian autoregressive process by an averaging method
• Propriétés asymptotiques presque sûres de l'estimateur des moindres carrés d'un modèle autorégressif vectoriel. (Almost sure asymptotic properties of the least squares estimators in a vectorial autoregressive model)
• On the estimation of an autoregressive parameter on the basis of the generalized method of least squares

zbMATH Keywords

asymptotic properties of estimatorsquadratic strong lawalmost-sure central limit theoremweighted LS-estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Strong limit theorems (60F15)

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\))
• On averaging methods for identification of linear regression models
• About the asymptotic behaviour of multidimensional Gaussian martingales and estimates in normal linear regression
• Invariance principles with logarithmic averaging for continuous local martingales
• Théorèmes limites avec poids pour les martingales vectorielles à temps continu
• Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth

Cited In (3)

• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• Title not available (Why is that?)
• Identification of a stable Gaussian autoregressive process by an averaging method

This page was built for publication: Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2865264)