Strong convergence of estimators in nonlinear autoregressive models

JOURNAL OF MULTIVARIATE ANALYSIS

卷:84

Article

Liebscher, E

关键词: nonlinear autoregressive model;    M-estimators;    strong convergence;    threshold models;   

DOI  :  10.1016/S0047-259X(02)00022-2

来源: Elsevier

【 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.

【 授权许可】

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