Strong convergence of estimators in nonlinear autoregressive models

✍ Scribed by Eckhard Liebscher

• Publisher: Elsevier Science
• Year: 2003
• Tongue: English
• Weight: 214 KB
• Volume: 84
• Category: Article
• ISSN: 0047-259X
• DOI: 10.1016/s0047-259x(02)00022-2

✦ 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.