Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
DOI10.1080/03610926.2012.763098zbMATH Open1320.60084OpenAlexW2001052890MaRDI QIDQ5265844FDOQ5265844
Publication date: 29 July 2015
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.763098
Recommendations
- Precise asymptotics in complete moment convergence of moving-average processes
- Precise asymptotics in complete moment convergence of the uniform empirical process
- On the exact maximum likelihood estimation of Gaussian autoregressive processes
- scientific article; zbMATH DE number 1159674
- Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
- Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order
- scientific article; zbMATH DE number 30715
- Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method
- On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
convergence ratecomplete moment convergencelaw of iterated logarithmparameter estimatorGaussian autoregressive process
Linear regression; mixed models (62J05) Large deviations (60F10) Gaussian processes (60G15) Martingales with discrete parameter (60G42) Strong limit theorems (60F15)
Cites Work
- Large deviations for quadratic forms of stationary Gaussian processes
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Title not available (Why is that?)
- On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
- Moderate deviation principle for autoregressive processes
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- On the Statistical Treatment of Linear Stochastic Difference Equations
- Convergence Rates for Probabilities of Moderate Deviations
- Precise asymptotics for a new kind of complete moment convergence
- Precise asymptotics in complete moment convergence for self-normalized sums
- Moderate deviations for stable Markov chains and regression models
- Precise rates in the law of iterated logarithm for the moment of i.i.d. random variables
- A nonuniform bound on the rate of convergence in the martingale central limit theorem
- Precise asymptotics in the self-normalized law of the iterated logarithm
- Exact moment convergence rates of U-statistics
- Deviation inequalities and moderate deviations for estimators of parameters in TAR models
- Asymptotic properties of the \(R/S\) statistics for linear processes
- EDGEWORTH APPROXIMATION IN THE AR(1) PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE
Cited In (2)
This page was built for publication: Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265844)
