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

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

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

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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)

Cites Work

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• Asymptotic optimal inference for non-ergodic models
• Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes
• Branching Markov processes and related asymptotics
• Modeling and large sample estimation for multi-casting autoregression

Cited In (2)

• The asymptotic behaviors for least square estimation of multi-casting autoregressive processes
• The law of iterated logarithm for autoregressive processes

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