ALMOST SURE ASYMPTOTIC PROPERTIES OF THE LEAST-SQUARES ESTIMATOR OF A VECTOR AUTOREGRESSIVE MODEL

被引：0

作者：

DUFLO, M ^{[1
]}

SENOUSSI, R ^{[1
]}

TOUATI, A ^{[1
]}

机构：

[1] ECOLE NORM SUPER,BIZERTE,TUNISIA

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1991年 / 27卷 / 01期

关键词：

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For a vector valued autoregressive model which is control-lable, we prove the strong consistency of the least squares estimator except in the following "singular" case: there exists an eigensubspace of dimension greater-than-or-equal-to 2 associated to an eigenvalue of modulus > 1. In the singular case the consistency may fail. In the regular case, we precise the almost sure rate of convergence; we also study the predictor of this model and the empirical estimator of the covariance.

引用

页码：1 / 25

页数：25

共 50 条

[41] EXACT DISTRIBUTIONS, DENSITY-FUNCTIONS AND MOMENTS OF THE LEAST-SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
TSUI, AK
ALI, MM
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 1994, 17 (04) : 433 - 454
[42] Almost sure asymptotic representation for the conditional copula estimator
Veraverbeke, Noel
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2024, 53 (24) : 8848 - 8856
[43] Least-squares estimation for bifurcating autoregressive processes
Zhou, J
Basawa, IV
STATISTICS & PROBABILITY LETTERS, 2005, 74 (01) : 77 - 88
[44] CONSISTENCY PROPERTIES OF LEAST-SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS IN ARMA MODELS
TIAO, GC
TSAY, RS
ANNALS OF STATISTICS, 1983, 11 (03): : 856 - 871
[45] ASYMPTOTIC PROPERTIES OF LEAST-SQUARES ESTIMATORS FOR DISCRETE COMPOUND DISTRIBUTIONS
CHOI, K
SIAM REVIEW, 1976, 18 (04) : 797 - 797
[46] ASYMPTOTIC PROPERTIES OF LEAST-SQUARES ESTIMATORS FOR DISCRETE COMPOUND DISTRIBUTIONS
CHOI, K
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1978, 30 (01) : 45 - 50
[47] THE ASYMPTOTIC NORMALITY OF AN ADJUSTED LEAST SQUARES ESTIMATOR IN A MULTIVARIATE VECTOR ERRORS-IN-VARIABLES REGRESSION MODEL
Senko, I. O.
THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, 2013, 88 : 157 - 170
[48] ASYMPTOTIC EQUIVALENCE OF ORDINARY LEAST-SQUARES AND GENERALIZED LEAST-SQUARES IN REGRESSIONS WITH INTEGRATED REGRESSORS
PHILLIPS, PCB
PARK, JY
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (401) : 111 - 115
[49] ASYMPTOTIC-EXPANSION FOR DISTRIBUTION OF LEAST-SQUARES ESTIMATOR OF NONLINEAR-REGRESSION PARAMETER
IVANOV, AV
THEORY OF PROBABILITY AND ITS APPLICATIONS, 1976, 21 (03) : 557 - 570
[50] Performance Analysis of the Least-Squares Estimator in Astrometry
Lobos, Rodrigo A.
Silva, Jorge F.
Mendez, Rene A.
Orchard, Marcos
PUBLICATIONS OF THE ASTRONOMICAL SOCIETY OF THE PACIFIC, 2015, 127 (957) : 1166 - 1182

← 1 2 3 4 5 →