Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method
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Publication:2865264
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Cites work
- About the asymptotic behaviour of multidimensional Gaussian martingales and estimates in normal linear regression
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Invariance principles with logarithmic averaging for continuous local martingales
- Limiting distributions of least squares estimates of unstable autoregressive processes
- On averaging methods for identification of linear regression models
- On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\))
- Théorèmes limites avec poids pour les martingales vectorielles à temps continu
- Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth
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