An extension of Lai and Wei's law of the iterated logarithm with applications to time series analysis and regression

DOI10.1016/0047-259X(90)90071-OzbMath0695.60038MaRDI QIDQ910090

Zhao-Guo Chen

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

regression models; iterated logarithm; least square estimates; spectral analysis of time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

60F15: Strong limit theorems

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PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS, CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS, Asymptotic Properties of the ISE in Nonparametric Regressions with Serially Correlated Errors, A law of the iterated logarithm for kernel estimators of regression functions, Iterated logarithm law for sample generalized partial autocorrelations, Uniform convergence rate of estimators of autocovariances in partly linear regression models with correlated errors, Asymptotics of estimators in semi-parametric model under NA samples

Cites Work

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• Strong consistency of least squares estimates in multiple regression II
• A law of the iterated logarithm for double arrays of independent random variables with applications to regression and time series models
• Consistent estimates for hidden frequencies in a linear process