Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order

DOI10.1214/AOS/1176348243zbMATH Open0729.62082OpenAlexW1993102515MaRDI QIDQ806874FDOQ806874

Authors: R. J. Bhansali, F. Papangelou 

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1214/aos/1176348243

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zbMATH Keywords

predictiontime seriesleast squaresconvergence of momentsuniform integrabilitystationary autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10)

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• Asymptotically efficient autoregressive model selection for multistep prediction
• Data driven time scale in Gaussian quasi-likelihood inference
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• Mixing convergence of LSE for supercritical AR(2) processes with Gaussian innovations using random scaling
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• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
• On same-realization prediction in an infinite-order autoregressive process.
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Multistep prediction in autoregressive processes
• Controllability of linear stochastic systems
• Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

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