Limiting mixture distributions for AR(1) model indexed by a branching process

DOI10.1016/J.SPL.2010.09.006zbMATH Open1202.62118OpenAlexW2066251150MaRDI QIDQ613201FDOQ613201

Authors Sumit K. Garg

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.09.006

zbMATH Keywords

branching processAR(1)Cauchy mixturelimiting mixture distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

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• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 3410334 (Why is no real title available?)
• Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes
• Asymptotic optimal inference for non-ergodic models
• Branching Markov processes and related asymptotics
• Modeling and large sample estimation for multi-casting autoregression

Cited in

(3)

• The asymptotic behaviors for least square estimation of multi-casting autoregressive processes
• Mixing convergence of LSE for supercritical AR(2) processes with Gaussian innovations using random scaling
• The law of iterated logarithm for autoregressive processes

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