Non Linear ARX-Models : Probabilistic Properties and Consistent Recursive Estimation

Consider the general ARX(k, q) nonlinear process defined by the recurrence relation Yn = f(Y_(n-1),... y_(n-k), x_n,..., x_(n-q+1)) +([ xi ]_n) where { x_n},{ [xi]_n} are independent i.i.d. sequences. We study some probabilistic properties of this process in the ergodic situation and propose a recursive estimator of the stochastic gradient kind of the function f which is strongly consistent.

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Year of publication:	1992-10-01
Authors:	DOUKHAN, P. ; TSYBAKOV, A.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 1992056
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005065354