Random coefficients bifurcating autoregressive processes

DOI10.1051/PS/2013042MaRDI QIDQ5174359zbMATH OpenOpenAlexFDO

Authors Benoîte de Saporta, Anne Gégout-Petit, Laurence Marsalle

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.3658, https://www.esaim-ps.org/10.1051/ps/2013042/pdf

zbMATH Keywords

bifurcating autoregressive processbifurcating Markov chainGalton-Watson treeleast squares estimationmartingalemissing data

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Discrete-time Markov processes on general state spaces (60J05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Population dynamics (general) (92D25)

Abstract: This paper presents a model of asymmetric bifurcating autoregressive process with random coefficients. We couple this model with a Galton Watson tree to take into account possibly missing observations. We propose least-squares estimators for the various parameters of the model and prove their consistency with a convergence rate, and their asymptotic normality. We use both the bifurcating Markov chain and martingale approaches and derive new important general results in both these frameworks.

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• Asymptotic analysis for bifurcating autoregressive processes via a martingale approach
• Least-squares estimation for bifurcating autoregressive processes
• Moderate deviation principle in nonlinear bifurcating autoregressive models
• Parameters estimation for asymmetric bifurcating autoregressive processes with missing data
• A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
• Statistical estimation in a randomly structured branching population
• Autoregressive functions estimation in nonlinear bifurcating autoregressive models
• A phase transition for large values of bifurcating autoregressive models
• Deviation inequalities for bifurcating Markov chains on Galton-Watson tree
• A broad class of partially specified autoregressions on multi-casting data
• Asymptotic results for random coefficient bifurcating autoregressive processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Asymmetry tests for bifurcating auto-regressive processes with missing data
• Asymptotics for a class of generalized multicast autoregressive processes
• scientific article; zbMATH DE number 2190882 (Why is no real title available?)

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