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Maximum likelihood estimators in nonlinear autoregressive processes. (English) Zbl 1351.62166

Summary: This paper is concerned with some asymptotic properties of maximum likelihood estimator of multivariate parameter for stable nonlinear autoregresssive process. Under suitable assumptions, the consistency normality and the rate of convergence in distribution \((O(n^{-1/2}))\) are settled. This rate is the same as in the i.d.d. case.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H12 Estimation in multivariate analysis
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