An iterated logarithm result for martingales and its application in estimation theory for autoregressive processes
Keyword(s):
The paper begins with an iterated logarithm law of classical Hartman-Wintner form for stationary martingales. This is then used to obtain iterated logarithm results giving information on rates of convergence of estimators of the parameters in a stationary autoregressive process. In the case of an autoregression of small order, detailed rate results for each autocorrelation and for the estimators of all parameters can be obtained. A rate result for the convergence of the sample mean is given in the general case.
1973 ◽
Vol 10
(01)
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pp. 146-157
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1975 ◽
Vol 12
(1)
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pp. 1-8
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2003 ◽
Vol 40
(1-2)
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pp. 213-241
Keyword(s):
2013 ◽
Vol 28
(2)
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pp. 550-586
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1968 ◽
Vol 5
(01)
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pp. 210-215
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1973 ◽
Vol 10
(02)
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pp. 299-306
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1985 ◽
Vol 70
(3)
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pp. 341-344
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1975 ◽
Vol 31
(4)
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pp. 343-349
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1969 ◽
Vol 12
(4)
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pp. 344-353
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