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Article: On least squares estimation for nonlinear autoregressive processes | Sur l'estimateur des moindres carrés d'un modèle autorégressif fonctionnel
Title | On least squares estimation for nonlinear autoregressive processes | Sur l'estimateur des moindres carrés d'un modèle autorégressif fonctionnel |
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Authors | |
Issue Date | 1997 |
Citation | Comptes Rendus De L'academie Des Sciences - Series I: Mathematics, 1997, v. 324 n. 4, p. 471-474 How to Cite? |
Abstract | Assuming the stability of a nonlinear autoregressive process, we give simple conditions ensuring strong consistency, asymptotic normality and a law of the iterated logarithm for the least squares estimator. The last result yields an almost sure identification of the true model using a suitably penalized contrast. © 1997 Académie des Sciences/Elsevier, Paris. |
Persistent Identifier | http://hdl.handle.net/10722/172376 |
ISSN | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Mangeas, M | en_US |
dc.contributor.author | Yao, JF | en_US |
dc.date.accessioned | 2012-10-30T06:22:12Z | - |
dc.date.available | 2012-10-30T06:22:12Z | - |
dc.date.issued | 1997 | en_US |
dc.identifier.citation | Comptes Rendus De L'academie Des Sciences - Series I: Mathematics, 1997, v. 324 n. 4, p. 471-474 | en_US |
dc.identifier.issn | 0764-4442 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172376 | - |
dc.description.abstract | Assuming the stability of a nonlinear autoregressive process, we give simple conditions ensuring strong consistency, asymptotic normality and a law of the iterated logarithm for the least squares estimator. The last result yields an almost sure identification of the true model using a suitably penalized contrast. © 1997 Académie des Sciences/Elsevier, Paris. | en_US |
dc.language | eng | en_US |
dc.relation.ispartof | Comptes Rendus de l'Academie des Sciences - Series I: Mathematics | en_US |
dc.title | On least squares estimation for nonlinear autoregressive processes | Sur l'estimateur des moindres carrés d'un modèle autorégressif fonctionnel | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yao, JF: jeffyao@hku.hk | en_US |
dc.identifier.authority | Yao, JF=rp01473 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-0031065933 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0031065933&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 324 | en_US |
dc.identifier.issue | 4 | en_US |
dc.identifier.spage | 471 | en_US |
dc.identifier.epage | 474 | en_US |
dc.identifier.scopusauthorid | Mangeas, M=6508084191 | en_US |
dc.identifier.scopusauthorid | Yao, JF=7403503451 | en_US |
dc.identifier.issnl | 0764-4442 | - |