Asymptotic results for random coefficient bifurcating autoregressive processes

DOI10.1080/02331888.2013.809718zbMATH Open1320.60083arXiv1204.2926OpenAlexW1977673567MaRDI QIDQ2934854FDOQ2934854

Authors: Vassili Blandin 

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Abstract: The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and the inheritance, we establish the almost sure convergence of our estimators, as well as a quadratic strong law and central limit theorems. Our study mostly relies on limit theorems for vector-valued martingales.

Full work available at URL: https://arxiv.org/abs/1204.2926

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zbMATH Keywords

almost sure convergencecentral limit theoremsweighted least squares estimatorbifurcating autoregressive processesmartinagles

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Strong limit theorems (60F15)

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Cited In (5)

• Limit theorems for bifurcating integer-valued autoregressive processes
• Asymptotic analysis for bifurcating autoregressive processes via a martingale approach
• Deviation inequalities for bifurcating Markov chains on Galton-Watson tree
• Autoregressive functions estimation in nonlinear bifurcating autoregressive models
• A law of large numbers for the bifurcating autoregressive process

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