Estimation in nonlinear regression with Harris recurrent Markov chains

DOI10.1214/15-AOS1379zbMATH Open1349.62380arXiv1609.04237OpenAlexW2519660010MaRDI QIDQ342665FDOQ342665

Authors: Degui Li, Dag Tjøstheim, Jiti Gao 

Publication date: 18 November 2016

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

Abstract: In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory for the proposed estimators. Our results show that the convergence rates for the estimators rely not only on the properties of the nonlinear regression function, but also on the number of regenerations for the Harris recurrent Markov chain. Furthermore, we discuss the estimation of the parameter vector in a conditional volatility function, and apply our results to the nonlinear regression with $I(1)$ processes and derive an asymptotic distribution theory which is comparable to that obtained by Park and Phillips [Econometrica 69 (2001) 117-161]. Some numerical studies including simulation and empirical application are provided to examine the finite sample performance of the proposed approaches and results.

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

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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)

Cited In (9)

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• Empirical process theory for locally stationary processes
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Robust nonlinear regression estimation in null recurrent time series
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• Regression analysis of stochastic fatigue crack growth model in a martingale difference framework
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