Asymptotic properties of projections with applications to stochastic regression problems

T. L. Lai and C. Z. Wei

Journal of Multivariate Analysis, 1982, vol. 12, issue 3, 346-370

Abstract: Almost sure convergence properties of least-squares estimates in stochastic regression models and an asymptotic theory of related Euclidean projections are developed herein. Applications to autoregressive processes and to dynamic input-output systems are also discussed.

Keywords: Stochastic; regressors; least; squares; estimates; projections; strong; consistency; dynamic; models; autoregressive; processes; minimum; eigenvalue; martingales (search for similar items in EconPapers)
Date: 1982
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Citations: View citations in EconPapers (12)

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