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Estimating the order of autoregressive models in approximation of signals

✍ Scribed by A. G. Dmitrienko; M. G. Myasnikova; B. V. Tsypin


Publisher
Springer US
Year
2011
Tongue
English
Weight
137 KB
Volume
54
Category
Article
ISSN
0543-1972

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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 g