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| HAL : hal-00129705, version 1 |
| Fiche détaillée |  Récupérer au format |
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| Sequential estimation of the parameters in unstable AR(2) |
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| Leonid Galtchouk 1Victor Konev |
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| (04/03/2004) |
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| For a second order non-explosive autoregressive process with un-known 2-dimensional parameter, it is shown that the sequentialleast squares estimate with a particular stopping time is asymptotically normally distributed uniformly in unknown parameter belongingto any compact set in the stability region of the process supple-mented with the part of its boundary corresponding to complex rootsof the characteristic polynomial. |
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| 1 : | Institut de Recherche Mathématique Avancée (IRMA) |
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CNRS : UMR7501 – Université Louis Pasteur - Strasbourg I |
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| Domaine | : | Mathématiques/Statistiques |
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| "autoregressive process – least squares estimator – sequential estimation – uniform asymptotic normality" |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00129705, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00129705 | |
| oai:hal.archives-ouvertes.fr:hal-00129705 | |
| Contributeur : Véronique Bertrand | |
| Soumis le : Jeudi 8 Février 2007, 15:00:25 | |
| Dernière modification le : Jeudi 8 Février 2007, 17:07:28 | |
