On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model

DOI10.1080/02331889008802256zbMATH Open0716.62087OpenAlexW1966294338MaRDI QIDQ3203885FDOQ3203885

Authors:

Publication date: 1990

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889008802256

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zbMATH Keywords

central limit theoremrates of convergencemartingale differenceleast squares estimategeneral autoregressive modelp-dimensional AR(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

• Title not available (Why is that?)
• An exact rate of convergence in the functional central limit theorem for special martingale difference arrays
• Some probabilistic inequalities for martingales
• Exact convergence rates in some martingale central limit theorems

Cited In (10)

• Asymptotic normality of autoregressive processes
• Rate of convergence for a class of RCA estimators
• On the rate of convergence of empirical distribution functions in \(AR(1)\) models
• Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible \(\mathrm{ARMA}(p,q)\) model
• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• Convergence rates in the central limit theorem for means of autoregressive and moving average sequences
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bootstrap in nonstationary autoregression.
• Risk efficient estimation of fully dependent random coefficient autoregressive models of general order

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