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

DOI10.1090/tpms/951zbMath1346.60043MaRDI QIDQ2944734

K. K. Moskvichova, Alexander 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 function; least squares estimator; nonlinear regression model; stationary Gaussian noise; stochastic asymptotic expansion

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

60G15: Gaussian processes

60G10: Stationary stochastic processes

60G50: Sums of independent random variables; random walks

60F99: Limit theorems in probability theory

Related Items

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

Cites Work

• Limit theorems for the maximal residuals in linear and nonlinear regression models
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