ON LEAST-SQUARES ESTIMATION FOR NONLINEAR AUTOREGRESSIVE PROCESSES

Authors
MANGEAS M YAO JF
Citation
M. Mangeas et Jf. Yao, ON LEAST-SQUARES ESTIMATION FOR NONLINEAR AUTOREGRESSIVE PROCESSES, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 324(4), 1997, pp. 471-474
Citations number
8
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
324
Issue
4
Year of publication
1997
Pages
471 - 474
Database
ISI
SICI code
0764-4442(1997)324:4<471:OLEFNA>2.0.ZU;2-K
Abstract
Assuming the stability of a nonlinear autoregressive process, we give simple conditions ensuring strong consistency, asymptotic normality an d a law of the iterated logarithm for the least squares estimator. The last result yields an almost sure identification of the the model usi ng a suitably penalized contrast.