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

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