Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process

DOI10.1080/03610926.2012.763098MaRDI QIDQ5265844zbMATH OpenOpenAlexFDO

Authors Jiang Hui, Yu Lei

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

zbMATH Keywords

convergence ratecomplete moment convergencelaw of iterated logarithmparameter estimatorGaussian autoregressive process

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Large deviations (60F10) Gaussian processes (60G15) Martingales with discrete parameter (60G42) Strong limit theorems (60F15)

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• Exact moment convergence rates of U-statistics
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• Moderate deviation principle for autoregressive processes
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• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
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• On the Statistical Treatment of Linear Stochastic Difference Equations
• Precise asymptotics for a new kind of complete moment convergence
• Precise asymptotics in complete moment convergence for self-normalized sums
• Precise asymptotics in the self-normalized law of the iterated logarithm
• Precise rates in the law of iterated logarithm for the moment of i.i.d. random variables
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(2)

• scientific article; zbMATH DE number 5230592 (Why is no real title available?)
• Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method

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