Stochastic asymptotic expansion of correlogram estimator of the correlation function of random noise in nonlinear regression model

DOI10.1090/TPMS/951MaRDI QIDQ2944734zbMATH OpenOpenAlexFDO

Authors K. K. Moskvichova, O. V. Ivanov

Publication date 8 September 2015

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/951

zbMATH Keywords

covariance functionleast squares estimatornonlinear regression modelstationary Gaussian noisestochastic asymptotic expansion

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Gaussian processes (60G15) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

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Cites work

• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• scientific article; zbMATH DE number 1258863 (Why is no real title available?)
• scientific article; zbMATH DE number 1005345 (Why is no real title available?)
• scientific article; zbMATH DE number 195210 (Why is no real title available?)
• Limit theorems for the maximal residuals in linear and nonlinear regression models

Cited in

(6)

• Asymptotic properties of Ibragimov's estimator for a parameter of the spectral density of the random noise in a nonlinear regression model
• Large deviations of a correlogram estimator of the random noise covariance function in a nonlinear regression model
• Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model
• Asymptotic expansion of the moments of correlogram estimator for the random-noise covariance function in the nonlinear regression model
• Asymptotic normality of the correlogram estimator of the covariance function of a random noise in the nonlinear regression model
• Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model

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