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Strong convergence of estimators in nonlinear autoregressive models

โœ Scribed by Eckhard Liebscher


Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
214 KB
Volume
84
Category
Article
ISSN
0047-259X

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โœฆ Synopsis


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.


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