Matrix parameter estimation in an autoregression model
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Matrix parameter estimation in an autoregression model
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| Creator |
Yurachkivsky, A.P.
Ivanenko, D.O. |
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| Description |
The vector difference equation ξk = Af(ξk−1)+εk, where (εk) is a square integrable difference martingale, is considered. A family of estimators ˇAn depending, besides the sample size n, on a bounded Lipschitz function is constructed. Convergence in distribution of √n (ˇAn − A) as n→∞is proved with the use of stochastic calculus. Ergodicity and even stationarity of (εk) is not assumed, so the limiting distribution may be, as the example shows, other than normal. |
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| Date |
2009-11-10T14:54:04Z
2009-11-10T14:54:04Z 2006 |
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| Type |
Article
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| Identifier |
Matrix parameter estimation in an autoregression model / A.P. Yurachkivsky, D.O. Ivanenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 1-2. — С. 154–161. — Бібліогр.: 4 назв.— англ.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4450 519.21 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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