scientific article; zbMATH DE number 4211324

MaRDI QIDQ3358094zbMATH OpenFDO

Authors Alexander Melnikov, A. Novikov

Publication date 1990

zbMATH Keywords

asymptotic behavior of the trajectoriesasymptotic normalitycadlag processesdisturbance processiterated logarithm lawleast squares estimatorlocally square integrable martingalematrix-valued processessemimartingale regression modelsSequential least squares estimationstrong consistency

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
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