Found 63 Documents (Results 1–63)
Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm. (English) Zbl 07832533
Consistency and asymptotic normality in a class of nearly unstable processes. (English) Zbl 07800325
Moment estimator for an AR(1) model driven by a long memory Gaussian noise. (English) Zbl 1524.62419
Fixed accuracy estimation of parameters in a threshold autoregressive model. (English) Zbl 1497.62240
A conversation with Tze Leung Lai. (English) Zbl 07368225
MSC:
62-XX
Sequential fixed accuracy estimation for nonstationary autoregressive processes. (English) Zbl 1442.62186
Reviewer: Krzysztof J. Szajowski (Wrocław)
On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes. (English) Zbl 1422.62284
Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises. (English) Zbl 1362.60041
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise. (English) Zbl 1308.62140
Strong consistency of least squares estimates in multiple regression models with random regressors. (English) Zbl 1329.60072
Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. (English) Zbl 1291.62150
Further results on the \(h\)-test of Durbin for stable autoregressive processes. (English) Zbl 1359.62380
On asymptotic normality of sequential LS-estimates of unstable autoregressive processes. (English) Zbl 1215.62081
On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\). (English) Zbl 1198.62076
Conditional least squares estimation in nonstationary nonlinear stochastic regression models. (English) Zbl 1181.62133
Almost sure bounds on the estimation error for OLS estimators when the regressors include certain MFI(1) processes. (English) Zbl 1279.62181
On the almost sure central limit theorem for vector martingales: Convergence of moments and statistical applications. (English) Zbl 1175.60009
Reviewer: Ludwig Paditz (Dresden)
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable. (English) Zbl 1320.62192
Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. (English) Zbl 1085.62105
Estimating cross-section common stochastic trends in nonstationary panel data. (English) Zbl 1282.91264
On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications. (English) Zbl 1076.62066
Reviewer: Ulrich Stadtmüller (Ulm)
On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\)). (English) Zbl 1110.62107
Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process. (English) Zbl 1046.62082
Selecting optimal multistep predictors for autoregressive processes of unknown order. (English) Zbl 1048.62088
On uniform asymptotic normality of sequential estimators for the parameters in a stable AR(1). (English) Zbl 1098.62546
On sequential estimation of parameters in semimartingale regression models with continuous time parameter. (English) Zbl 1043.62067
Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends. (English) Zbl 0976.62090
On limiting distributions in explosive autoregressive processes. (English) Zbl 0909.62011
Reviewer: K.-i.Yoshihara (Tokyo)
Asymptotic canonical forms and iterated logarithm rate results of least squares estimates for unstable ARMA models. (English) Zbl 0920.62111
Option hedging and implied volatilities in a stochastic volatility model. (English) Zbl 0915.90028
MSC:
91G20
Limit theory and bootstrap for explosive and partially explosive autoregression. (English) Zbl 0820.62072
A new way to estimate orders in time series. (English) Zbl 0807.62073
MSC:
62M10
Martingale transforms with non-atomic limits and stochastic approximation. (English) Zbl 0792.60034
Reviewer: C.Z.Wei (Taipei)
Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots. (English) Zbl 0799.62095
Adaptive stabilization of unstable and nonminimum-phase stochastic systems. (English) Zbl 0778.93101
MSC:
93D21
Almost sure convergence of least squares estimates for regular multivariate ARX systems. (English) Zbl 0763.93084
MSC:
93E24
A log log law for unstable ARMA models with applications to time series analysis. (English) Zbl 0746.62093
Reviewer: J.Anděl (Praha)
On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series. (English) Zbl 0742.62086
Reviewer: R.Mentz (S.M.de Tucuman)
MSC:
62M10
Orders and initial values of non-stationary multivariate ARMA models. (English) Zbl 0716.62090
MSC:
62M10
The zero-crossing rate of autoregressive processes and its link to unit roots. (English) Zbl 0714.62086
Estimation of parameters in ARUMA models. (English) Zbl 0704.62082
Reviewer: J.Anděl
MSC:
62M10
Selecting order for general autoregressive models by minimum description length. (English) Zbl 0698.62092
MSC:
62M10
Least squares estimation of the coefficients of a partially explosive model, with polynomial regressions of same degree, generating a pair of related time series. (English) Zbl 0694.62039
MSC:
62M10
Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters. (English) Zbl 0682.62065
Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component. (English) Zbl 0696.62145
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