Asymptotic Behavior of Least Squares Estimator for Nonlinear Autoregressive Models
Probability
2019-09-17 v1
Abstract
This paper is concerned with the least squares estimator for a basic class of nonlinear autoregressive models, whose outputs are not necessarily to be ergodic. Several asymptotic properties of the least squares estimator have been established under mild conditions. These properties suggest the strong consistency of the least squares estimates in nonlinear autoregressive models which are not divergent.
Keywords
Cite
@article{arxiv.1909.06773,
title = {Asymptotic Behavior of Least Squares Estimator for Nonlinear Autoregressive Models},
author = {Zhaobo Liu and Chanying Li},
journal= {arXiv preprint arXiv:1909.06773},
year = {2019}
}