Estimation in nonlinear regression with Harris recurrent Markov chains

DOI10.1214/15-AOS1379zbMath1349.62380arXiv1609.04237OpenAlexW2519660010MaRDI QIDQ342665

Degui Li, Dag Tjøstheim, J. T. Gao

Publication date: 18 November 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04237

zbMATH Keywords

asymptotic distributionnonlinear regressionleast squares estimationintegrable function\(\beta\)-null recurrent Markov chainasymptotically homogeneous functionHarris recurrence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

Local composite quantile regression smoothing for Harris recurrent Markov processes ⋮ Binary response models for heterogeneous panel data with interactive fixed effects ⋮ Robust nonlinear regression estimation in null recurrent time series ⋮ A weighted sieve estimator for nonparametric time series models with nonstationary variables ⋮ Empirical process theory for locally stationary processes ⋮ Regression analysis of stochastic fatigue crack growth model in a martingale difference framework ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

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