Strong convergence of estimators in nonlinear autoregressive models

In the paper we prove rates of strong convergence of M-estimators for the parameters in a general nonlinear autoregressive model. In the proofs we utilize a variational principle from stochastic optimization theory which was proved by Shapiro (Ann. Oper. Res. 30 (1991) 169). The application of the general theory is illustrated in the case of continuous threshold models.

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Year of publication:	2003
Authors:	Liebscher, Eckhard
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 84.2003, 2, p. 247-261
Publisher:	Elsevier
Keywords:	Nonlinear autoregressive model M-estimators Strong convergence Threshold models

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

Persistent link: https://www.econbiz.de/10005221682