Ergebnisse für *

Es wurden 1 Ergebnisse gefunden.

Zeige Ergebnisse 1 bis 1 von 1.

Sortieren

1. Asymptotic Analysis for Bifurcating Autoregressive Processes via a martingale approach

   Autor*in: Gégout-Petit, Anne ; De Saporta, Benoîte ; Bercu, Bernard

   Erschienen: 2008

   Verlag:  HAL CCSD

   We study the least-square (LS) estimator of the unknown parameters of a bifurcating auto-regressive process (BAR). Under very weak assumptions on the noise sequence (namely conditional pair-wise independence and moments of order $4$), we derive a... mehr

   • Bibliographische Angaben
   • Zugang
   • Beschreibung

   Volltext:

   https://hal.archives-ouvertes.fr/hal-00325866

   We study the least-square (LS) estimator of the unknown parameters of a bifurcating auto-regressive process (BAR). Under very weak assumptions on the noise sequence (namely conditional pair-wise independence and moments of order $4$), we derive a precise rate of convergence for the LS estimator, as well as a quadratic strong law and a central limit theorem. Our main tool is martingale theory. However, standard results do not apply directly, as the martingales involved here have a special form and an exponential growth rate.

   Export in Literaturverwaltung

   Quelle:	BASE Fachausschnitt Germanistik
   Sprache:	Englisch
   Medientyp:	Konferenzveröffentlichung
   Format:	Online
   Übergeordneter Titel:	Joint Meeting of the Statistical Society of Canada and the Société Française de Statistique ; https://hal.archives-ouvertes.fr/hal-00325866 ; Joint Meeting of the Statistical Society of Canada and the Société Française de Statistique, May 2008, Ottawa, Canada
   Schlagworte:	Bifurcating auto-regression; Tree-indexed times series; Martingales; Least-squares estimator; Almost sure convergence; Convergence rate; Quadratic strong law; Central limit theorem; [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]