Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes

DOI10.1214/AOS/1176346399zbMATH Open0546.62059OpenAlexW1995230056MaRDI QIDQ797946FDOQ797946

I. V. Basawa, Peter J. Brockwell

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346399

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zbMATH Keywords

conditional limit theoremconditional modeloptimality resultsasymptotic conditionality principleconditionally locally asymptotically normal familyexplosive Gaussian autoregressive processesnonergodic familyunconditional likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Cited In (17)

• Title not available (Why is that?)
• On Conditional Independence, Mixing, and Association
• Asymptotic theory of conditional inference for stochastic processes
• Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
• TESTING CHANGE-POINTS IN THE EXPLOSIVE GAUSSIAN AUTOREGRESSIVE PROCESSES
• Limiting Experiments and Asymptotic Bounds on the Performance of Sequence of Estimators
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Asymptotic inference for Markov step processes: Observation up to a random time
• Limiting mixture distributions for AR(1) model indexed by a branching process
• Asymptotic minimax results for stochastic process families with critical points
• A NOTE ON ASYMPTOTIC POSTERIOR NORMALITY FOR STOCHASTIC PROCESSES
• The law of iterated logarithm for autoregressive processes
• Large sample estimation in nonstationary autoregressive processes with multiple observations
• Hájek-Inagaki convolution representation theorem for randomly stopped locally asymptotically mixed normal experiments
• Deviation probability bound for martingales with applications to statistical estimation
• Limit theory for moderate deviations from a unit root
• On nonergodicity for nonparametric autoregressive models

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