An iterated logarithm result for martingales and its application in estimation theory for autoregressive processes

DOI10.2307/3212502zbMath0258.60039OpenAlexW4232422903MaRDI QIDQ5674188

Publication date: 1973

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3212502

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

A law of the iterated logarithm for martingales ⋮ Asymptotic normality of pseudo-LS estimator for partly linear autoregression models ⋮ PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS ⋮ Asymptotic theory for partly linear models ⋮ Asymptotic properties of some estimators for partly linear stationary autoregressive models ⋮ A log log law for unstable ARMA models with applications to time series analysis

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