Mixing convergence of LSE for supercritical AR(2) processes with Gaussian innovations using random scaling

DOI10.1007/S00184-023-00936-YMaRDI QIDQ6594923zbMATH OpenFDO

Authors Mátyás Barczy, Fanni Nedényi, Gyula Pap

Publication date 29 August 2024

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00184-023-00936-Y

zbMATH Keywords

autoregressive processesleast squares estimatormixing convergencestable convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 3227597 (Why is no real title available?)
• scientific article; zbMATH DE number 3304539 (Why is no real title available?)
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• Measure theory
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• On mixing sequences of random variables
• On mixing sequences of sets
• On the Statistical Treatment of Linear Stochastic Difference Equations
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case)
• Stable convergence and stable limit theorems
• К теории предельных теорем для сумм независимых случайных величин

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