Asymptotic properties of projections with applications to stochastic regression problems

Almost sure convergence properties of least-squares estimates in stochastic regression models and an asymptotic theory of related Euclidean projections are developed herein. Applications to autoregressive processes and to dynamic input-output systems are also discussed.

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Year of publication:	1982
Authors:	Lai, T. L. ; Wei, C. Z.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 12.1982, 3, p. 346-370
Publisher:	Elsevier
Keywords:	Stochastic regressors least squares estimates projections strong consistency dynamic models autoregressive processes minimum eigenvalue martingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221294