Koul, Hira L.; Zhu, Zhiwei - In: Stochastic Processes and their Applications 57 (1995) 1, pp. 167-189
This paper proves strong consistency, along with a rate, of a class of generalized M-estimators for the autoregression parameter vector in pth order autoregression (AR(p)) models. If the score function [psi] has bounded second derivative then the rate of convergence is n-1/2(lnlnn)1/2 while for...
