Strong convergence of estimators in nonlinear autoregressive models
AbstractIn 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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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 84 (2003)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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