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

DOI10.1090/TPMS/951zbMATH Open1346.60043OpenAlexW1417623346MaRDI QIDQ2944734FDOQ2944734

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

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• scientific article; zbMATH DE number 750679

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)

Cites Work

• Limit theorems for the maximal residuals in linear and nonlinear regression models
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Cited In (6)

• 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
• Asymptotic properties of Ibragimov's estimator for a parameter of the spectral density of the random noise in a nonlinear regression model

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