Strong convergence of estimators in nonlinear autoregressive models

被引：9

作者：

Liebscher, E ^{[1
]}

机构：

[1] Tech Univ Ilmenau, Math Inst, D-98684 Ilmenau, Germany

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2003年 / 84卷 / 02期

关键词：

nonlinear autoregressive model; M-estimators; strong convergence; threshold models;

D O I：

10.1016/S0047-259X(02)00022-2

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：

In the paper we prove rates of strong convergence of M-estimators for the parameters in a general nonlinear autoregressive model. In the proofs we utilize a variational principle from stochastic optimization theory which was proved by Shapiro (Ann. Oper. Res. 30 (1991) 169). The application of the general theory is illustrated in the case of continuous threshold models. (C) 2003 Elsevier Science (USA). All rights reserved.

引用

页码：247 / 261

页数：15

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