Speed of convergence of the least-squares estimator in autoregressive models

Bose, A. ; Dasgupta, Ratan (1994) Speed of convergence of the least-squares estimator in autoregressive models Journal of Statistical Planning and Inference, 38 (3). pp. 371-380. ISSN 0378-3758

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Official URL: http://linkinghub.elsevier.com/retrieve/pii/037837...

Related URL: http://dx.doi.org/10.1016/0378-3758(94)90017-5

Abstract

The Berry-Esseen bound and large deviation type results for least-squares estimator in autoregressive models are derived under appropriate assumptions.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Autoregressive Process; Least-squares Estimates; Berry-esseen Bound; Large Deviations
ID Code:5460
Deposited On:18 Oct 2010 10:05
Last Modified:20 May 2011 10:59

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