Matrix parameter estimation in an autoregression model

• Datum: 2006
• Hauptverfasser: Yurachkivsky, A.P., Ivanenko, D.O.
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Інститут математики НАН України 2006
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4450
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Zitieren: 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.

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 wit...